Quant Mashup

• What To Do About REITs? [Mebane Faber]REITs have been the best performing major asset class since the market bottom in 2009, up over 200%. What are the current drivers of REITs saying now across trend, yield curve, and valuation? -Trend is certainl...
  - 7 hours ago, 22 May 13, 12:42am -
• Shareholder Yield Strategy [Scott's Investments]Cambria Investment Management and Mebane Faber recently announced the Cambria Shareholder Yield ETF (SYLD). Faber outlines the Shareholder Yield strategy in his Shareholder Yield: A Better Approach to Dividend...
  - 7 hours ago, 22 May 13, 12:42am -
• New Highs 2 Days Post Op-Ex [Overnight Edges]Yesterday I looked at what happens when ES closes at a short-term high on the day after options expiration. Today let’s take a look at what happens when there is a short-term high 2 days after. (Unless there is...
  - 13 hours ago, 21 May 13, 6:38pm -
• New Book: Keeping Up with the Quants: Your Guide to Understanding and Using Analytics [Amazon.com]Welcome to the age of data. No matter your interests (sports, movies, politics), your industry (finance, marketing, technology, manufacturing), or the type of organization you work for (big company, nonprofit,...
  - 19 hours ago, 21 May 13, 12:39pm -
• Stock Returns Around Memorial Day [CXO Advisory]Does the Memorial Day holiday signal any unusual return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to 1971, the U.S. c...
  - 19 hours ago, 21 May 13, 12:00pm -
• Research Review | 5.21.13 | Risk Management & Asset Allocation [Capital Spectator]Research Review | 5.21.13 | Risk Management & Asset Allocation Advances in Portfolio Risk Control: Risk! Parity? Winfried G. Hallerbach (Robeco) | May 1, 2013 Spurred by the increased interest in applying “...
  - 21 hours ago, 21 May 13, 9:53am -
• S&P 500 ($SPX) 13 Consecutive Higher Lows, Bullish or Bearish? [Paststat]This pattern of $SPX making 10 or more consecutive higher lows ( interleaving instances ) suggest some more up-leg to the current rally, with 21/23 winners and with a pay off ratio ( avg win% / avg loss%) of mo...
  - 21 hours ago, 21 May 13, 9:52am -
• Is there a mean reversion anomaly? [RRSP Strategy]There has been a fair amount of online discussion regarding mean reversion, typically focussed on the S&P500 or SPY ETF. Michael Stokes shows that short term mean reversion is a recent phenomena and may act...
  - 1 day ago, 21 May 13, 2:32am -
• S&P 500: 12 Consecutive Closes Above the Upper Bollinger Band. Bullish or Bearish? [Woodshedder]We are entering historic territory with the S&P 500 closing for the 12th consecutive day above its upper Bollinger Band (50,2). This has only happened 25 times since 1928. When the market reaches historic e...
  - 1 day ago, 20 May 13, 11:42pm -
• Betting on a Summer Rally [Mark Hulbert]Just hold on until this weekend, you worrywarts. Memorial Day marks the official beginning of summer, when the much-vaunted Summer Rally will keep this powerful bull market going....
  - 1 day ago, 20 May 13, 9:31pm -
• New Book: Smarter Trading: Improving Performance in Changing Markets [Amazon.com]As a direct result of economic globalization and computerized trading, today's professional stock, bond, and futures traders face a career-making - or breaking - challenge: to track and immediately comprehend t...
  - 2 days ago, 20 May 13, 7:03pm -
• The Sell In May(be) Strategy [Jay Kaeppel]Hey just what you need right? One more article on the “Sell in May and Go Away” phenomenon. And boy do we live in a polarized world these days or what? Most of the approximately 2,376 “Sell in May” related arti...
  - 2 days ago, 20 May 13, 6:31pm -
• R/Finance 2013 slides [Systematic Investor]I have just returned from the R/Finance conference and want to share with you my slides and examples. The Cluster Risk Parity portfolio allocation method is an example of Cluster Portfolio Allocation methods th...
  - 2 days ago, 20 May 13, 1:35pm -
• High Closes Just After Options Expiration [Overnight Edges]We already know that overnight ES performance following a new high on a Monday has been weak when you are looking at a long-term high. But when that Monday directly follows opex Friday, then even a short-term h...
  - 2 days ago, 20 May 13, 11:26am -
• Golden Cross – Which is the best? [System Trader Success]The Golden Cross typically referrers to the crossing of the 50 and 200 Day Simple Moving Averages. When the shorter term average moves above the longer term average this is seen by many as the beginning of a su...
  - 2 days ago, 20 May 13, 9:17am -
• Are Market Valuations too High? [Turnkey Analyst]There is a lot of chatter regarding market valuations. Many commentators are very confident that market is overpriced. Overconfidence can be dangerous. In the words of Twain: It’s not what you don’t know that k...
  - 2 days ago, 20 May 13, 9:16am -
• High Volume Rise on Op-Ex Day - Good or Bad for $SPY? [Paststat]This modified pattern of $SPY (SPDR S&P 500 ETF) from Quantifiable Edges High Vol Rise on Op-ex Day – Good or Bad? suggest bit bearishness for the next trading session here are the trading system rules we e...
  - 2 days ago, 20 May 13, 9:15am -
• The pressure on investors [UK Stock Market Almanac]It has long been thought that there is some connection between the weather and stock returns. That when the sun shines, investors feel happy, they take on more risk and prices rise; and when the weather is gloo...
  - 2 days ago, 20 May 13, 9:14am -
• This 3-Day Pattern Is Suggesting Caution For Today [Quantifiable Edges]After Wednesday’s move to a new high, Thursday put in an inside day.  With Friday closing at another new high the study below triggered, which I have only previously shared
  - 2 days ago, 20 May 13, 7:46am -
• Implied alpha and minimum variance [Portfolio Probe]Under the covers of strange bedfellows. Previously The idea of implied alpha was introduced in “Implied alpha — almost wordless”. In a comment to that post Jeff noticed that the optimal portfo...
  - 2 days ago, 20 May 13, 5:19am -
• Concepts In Technical Analysis [System Trader Success]Here is a free PDF download of basic technical analysis concepts provided by Merrill Lynch. No signups. No opt-in. Just a free download....
  - 2 days ago, 19 May 13, 11:56pm -
• [Academic Paper] Asymmetric Correlations in Financial Markets [@Quantivity]Asymmetric Correlations in Financial Markets
  - 3 days ago, 19 May 13, 6:27pm -
• [Academic Paper] Time Series and Cross-Sectional Properties of Equity Market Liquidity with Applications to Financial Crisis [@Quantivity]Time Series and Cross-Sectional Properties of Equity Market Liquidity with Applications to Financial Crisis
  - 3 days ago, 19 May 13, 6:24pm -
• Sector Rotation and Dual Momentum [Optimal Momentum]Sector rotation is one of the more popular applications of momentum. The follo...
  - 4 days ago, 18 May 13, 3:03pm -
• US market portrait 2013 week 20 [Portfolio Probe]US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initia...
  - 4 days ago, 18 May 13, 6:05am -
• Complexity ==> Confusion and Dysfunction [Turnkey Analyst]A heartwarming paragraph from a paper I’m reading: Miller (1956) argued that there are definite limitations on the number of conceptual units that humans can handle at any one time. As the complexity of the inf...
  - 5 days ago, 17 May 13, 10:15am -
• $SPY $SPX $VIX Returns on Option Expiry Days Month Wise [Paststat]for $SPY since 1993 , May Option Expiry days are profitable 45% (9/20) of the times average returns are -0.17% (against any month options expiry returns which are -0.08%) average win% if $SPY goes up on May opt...
  - 5 days ago, 17 May 13, 8:45am -
• Is it time to buy Facebook? [Mark Hulbert]It will be difficult for the social network to combat valuation worries, writes Mark Hulbert....
  - 5 days ago, 17 May 13, 4:32am -
• $SPY Closes More than 3.5% Above the 20 Day Average. Bullish or Bearish? [Woodshedder]On Wednesday, May 15th, $SPY closed 3.52% above its 20 day moving average. While this has happened more than 275 times over the history of $SPY, it is not an altogether common occurrence. It is the first time t...
  - 5 days ago, 16 May 13, 11:30pm -
• How Thursday Nights At New Highs Act Different [Overnight Edges]Last week I showed that new highs on Mondays often lead to a down gap the next day. In fact, Monday is not the only day that suggests a downside edge. While it is perhaps the day that exhibits this tendency the...
  - 5 days ago, 16 May 13, 8:54pm -
• New Book: Advances in Econometrics: Theory and Applications [Amazon.com]Econometrics is becoming a highly developed and highly mathematicized array of its own sub disciplines, as it should be, as economies are becoming increasingly complex, and scientific economic analyses require...
  - 5 days ago, 16 May 13, 8:54pm -
• Stock Market Valuation and Returns [Avondale Asset Management]One week after I wrote a post about the S&P 500 being up 14.5% year to date, the index is now up 16.5%! As I wrote last week, this is a spectacular increase even when judged on an annual basis, and our year...
  - 5 days ago, 16 May 13, 8:43pm -
• The Whole is Greater than the Sum of the Parts [Doug Short]One of the most mind-blowing implications of portfolio theory is that a well conceived portfolio has the potential to be much better, in terms of risk adjusted performance, than what we might expect from the su...
  - 6 days ago, 16 May 13, 12:46pm -
• Inflation Forecast Update [CXO Advisory]The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for April 2013. The actual total (core) inflation rate for April is lower (lower) than forecasted. The new actual an...
  - 6 days ago, 16 May 13, 9:30am -
• Revisiting Consistently Strong Closes [Quantifiable Edges]The market has seen a lot of finishes near the top of its daily range lately.  When the market consistently closes near the high of the day it suggests optimism on the part of traders. This end-of-d...
  - 6 days ago, 16 May 13, 8:55am -
• Monthly share momentum [UK Stock Market Almanac]Do shares exhibit a momentum effect from one month to the next? If we selected the 10 best performing FTSE 100 shares in one month and created an equally-weighted portfolio of those shares to hold for the follo...
  - 6 days ago, 16 May 13, 8:45am -
• When VIX and SPX Rise Together for Two Days in Row, What Next ? [Paststat]With both SPX and VIX both finished the day higher on Tuesday and Wednesday, which appears unusual , so we digged into the into the numbers. dating back to 1990. Of the 5,888 trading days since 1990 , over that...
  - 6 days ago, 16 May 13, 5:06am -
• Barron’s Has Their Best, but It’s Not Too Predictive [Bloodhound Exchange]As we have noted in previous blog posts, Apple may have lost its shine, but it still remains the largest capitalization stock on the U.S. exchanges – retaking the lead from Exxon earlier this month. It also did...
  - 6 days ago, 16 May 13, 5:05am -
• [Academic Paper] Quantifying Wikipedia Usage Patterns Before Stock Market Moves [@Quantivity]Quantifying Wikipedia Usage Patterns Before Stock Market Moves
  - 6 days ago, 16 May 13, 12:05am -
• [Academic Paper] Stylized Facts and Dynamic Modeling of High-Frequency Data on Precious Metals [@Quantivity]Stylized Facts and Dynamic Modeling of High-Frequency Data on Precious Metals
  - 6 days ago, 16 May 13, 12:04am -
• [Academic Paper] Portfolio Blender: Blending Qualitative Expectations in Portfolio Optimization [@Quantivity]Portfolio Blender: Blending Qualitative Expectations in Portfolio Optimization
  - 6 days ago, 16 May 13, 12:03am -
• Oscillatory Similarity [Flirting with Models]Part of being a quant means having an intuitive understanding of the methodologies you are utilizing.  Our job is to utilize the mathematical process that lines up with our purpose at hand. Correlation is one o...
  - 7 days ago, 15 May 13, 3:04pm -
• Longest Day-of-Week Winning Streaks in Context [MarketSci]As noted by Paststat, yesterday marked the Dow Jones Industrial Average’s 18th straight winning Tuesday. How rare an event is that? Very… The chart below shows the longest active day-of-week winning streaks for...
  - 7 days ago, 15 May 13, 12:19pm -
• New Book: Financial Asset Pricing Theory [Amazon.com]Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which...
  - 7 days ago, 15 May 13, 11:27am -
• Surprising Asset Allocation Results That Really Aren't Surprising [Capital Spectator]Monday's article on the average to above-average results that usually describe a passive allocation to all the major asset classes brought charges of foul play from some quarters. A few critics said I was cherr...
  - 7 days ago, 15 May 13, 11:12am -
• Longest Dow Jones Winning Streaks For Each Weekday Ever [Paststat]With the Dow Jones posting it’s 18th straight winning steak for a Tuesday , here is a compilation of previous hot streaks against each weekday since 1900 . For Monday the Dow Jones largest winning streak was 13...
  - 7 days ago, 15 May 13, 11:12am -
• Variance matrix differences [Portfolio Probe]Torturing portfolios to give different volatilities between a factor model and Ledoit-Wolf shrinkage. Previously There have been posts on: “What the hell is a variance matrix?” factor models Ledoit-...
  - 7 days ago, 15 May 13, 6:21am -
• Blogger Sentiment Analysis [CXO Advisory]Are prominent stock market bloggers in aggregate able to predict the market’s direction? The Ticker Sense Blogger Sentiment Poll “is a survey of the web’s most prominent investment bloggers, a...
  - 7 days ago, 15 May 13, 6:05am -
• Updates to The Whole Street Now Available via RSS and Email [The Whole Street]Subscribe by RSS or Email to receive our “Daily Wrap”, a once-a-day list of all of the new links on the Quant Mashup over the last 24 hours. It’s completely free and guarantees that you won’t miss any of that s...
  - 7 days ago, 15 May 13, 12:05am -
• Free lunches [RRSP Strategy]Liquid financial instruments are normally correctly valued.  There are some situations when this does not apply; these are called anomalies e.g. momentum, post-earnings-announcement-drift etc.  To beat the broa...
  - 7 days ago, 14 May 13, 11:07pm -