This is a summary of links featured on Quantocracy on Tuesday, 06/02/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
VIX Trading Strategies in May [Volatility Made Simple]
Weve tested 23 simple strategies for trading VIX ETPs on this blog (separate and unrelated to our own strategy). And while I cant speak for all traders, based on all of my readings both academic and in the blogosphere, the strategies weve tested are broadly representative of how the vast majority of traders are timing these products. Most of these strategies turned in so
Dual Momentum for non-US Investors [Dual Momentum]
Gogi Grewal is an engineer and astute financial analyst who has been following my work for a number of years. He has an excellent grasp of dual momentum. Since Gogi lives in Canada, he decided to research the best way for non-US investors to utilize dual momentum. Gogi has generously offered to share his findings with us here. Take it away, Gogi…. INTRODUCTION
Did Ben Graham Value Investing Work in the Recent Bull Market? [Alpha Architect]
Forbes outlines one of Ben Grahams basic value investment strategies and analyzes how it has performed from 1949 through 2012. Even with all of the fiscal cliff and European debt drama in 2012, the Graham-based portfolio has had a particularly good year. While the S&P 500 has notched a solid 13.7% gain (all performance figures through Dec. 17), the Graham portfolio is
Price Momentum Model | Trading Strategy (Benchmark) [Oxford Capital]
I. Trading Strategy Concept: Trend-following trading strategy based on a simple price momentum. Source: Kaufman, P. J. (2013). Trading Systems and Methods. New Jersey: John Wiley & Sons, Inc. Research Goal: Performance verification of the price momentum model. Specification: Table 1. Results: Figure 1-2. Portfolio: 42 futures markets from four major market sectors (commodi
State of Trend Following in May [Au.Tra.Sy]
Another successive down month for the index. Enough to take it into negative territory for the year. Please check below for more details. Detailed Results The figures for the month are: May return: -2.38% YTD return: -2.62% Below is the chart displaying individual system results throughout May: StateTF May
Harvesting the Size Factor Premium [Flirting with Models]
We recently published an article on S&P's Indexology blog that looks at some of the more practical aspects of harvesting the size premium – a premium earned by owning smaller stocks. In our U.S. Factor Defensive Equity strategy, we hold ETFs that aim to capture premiums from value, size, momentum, dividends, and low volatility. Of these five, the size premium is generally t
Wisdom State of Trend Following – May 2015 [Wisdom Trading]
May 2015: Trend Following DOWN -2.67% YTD: +4.99% The downward consolidation continues in May with a negative month. The index still stays positive Year-To-Date. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for May: Wisdom State of Trend Following – May 2015 And the 12-
Metals stocks poised to bounce back $XME [@NautilusCap]
Metals stocks poised to bounce back $XME
Testing the NASDAQ/S&P500 Relative Strength Ratio [Better System Trader]
In Episode 7 of the BetterSystemTrader podcast Rob Hanna from Quantifiable Edges discusses a market behaviour where the strength of the NASDAQ often leads strength in other markets. Here is what Rob had to say: Well one indicator I like to use that I have shown on the blog years ago and it is part of the market timing course now is NASDAQ versus the S&P relative strengt
Weekly Commentary – Volatility Through a Different Lens [Flirting with Models]
We would venture that there is a strong correlation between the amount of ink spilled about an asset class or sector and its volatility. So given that the energy sector fell nearly 5.5% in the last month without much interest is somewhat curious. Or, is it? First, let's establish whether our initial assumption has merit. Below we plot the trailing 21-day realiz
Additional interesting paper related to several momentum strategies [Quantpedia]
#8 – FX Momentum #14 – Momentum Effect in Stocks #21 – Momentum Effect in Commodities #118 – Time Series Momentum Effect Authors: Goyal, Jagadeesh Title: Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2610288 Abstract:
Abnormal risks [Statistical Ideas]
The definition of insanity is doing something over and over again and expecting a different result. Variations of this captivating expression have been around since the early 1980s (though misattributed a generation earlier to the late physicist Albert Einstein). Those underlying ideas however have roots etched into significant religions, such as the ideology of Taoism. T
Financial Imprecision [John Orford]
I only started drinking coffee when I started working crazy hours. Not to keep awake but as an excuse to pop out of the office for a few minutes and suck in some fresh air. Either coffee or cigarettes, thank goodness not the latter. In any case, I recently read about a guy who is reverse engineering Nespresso coffee. He doesn't like the stuff, but
S&P500 All time high [Stockdotnu]
he graph shows the all-time high on the S&P500, since year 1957 to 2015, and the line is moving and in close-up one can see how long each ATH has been going on. However, this is a smaller picture of the graph and the real is very big and I will not put it out due to the size. Longest ATH in a row on number of trading days are 14.
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