Browsing All Posts filed under »strategy«

What is “Slippage?”

January 20, 2014 by

1

Most back testing frameworks model slippage. It is worth knowing what it is.

Asymmetric Beta: A Clue to Low Volatility Outperformance

January 8, 2014 by

2

Low volatility stocks and ETFs seem to perform better than they ought to.  In recent years they have provided similar returns to the overall market, but with lower risk. This phenomenon is referred to as “the low volatility anomaly.”  We take a statistical look at the question to see if we can find clues to […]

Bond/Stock Correlation: A Quantitative Headwind for Asset Allocation Strategies

November 11, 2013 by

1

Up until a few months ago I was trading an asset allocation strategy that invested significantly in bonds and large cap US stocks.  I exited that strategy because the correlation between bond and stock returns concerned me.  Here’s a detailed analysis. keywords: asset allocation, diversified portfolio, stocks bonds

Calling the Market Bottom In 2009

October 19, 2013 by

5

I came across this post I made on facebook in 2009.  It was based on market wide quantitative measures I was looking at at the time.

Assessment of Insider Trading Information for Investment Strategies

August 12, 2013 by

3

In this white paper produced by Lucena Research, we show how insider trading information can inform an effective trading strategy. We analyze data provided by our partner insiderinsights.com by Scott Strong and Tucker Balch, Ph.D. keywords: insider trading, proprietary indicators

Assessment of a Supply Chain-based Indicator for Stock Trading

July 26, 2013 by

6

In this white paper produced by Lucena Research, we show how supply chain information can inform an effective trading strategy. Supply chain data was provided by Revere Data, LLC. by John Cornwell and Tucker Balch, Ph.D. keywords: supply chain, proprietary indicators

Securities That May Survive Upcoming Interest Rate Jolts

July 25, 2013 by

5

We saw in May and June 2013 that a hint of change in monetary policy can lead to a simultaneous drop in stocks and bonds. What could we add to a portfolio to protect against that risk? keywords: asset allocation, risk parity, diversified portfolio

Are We In a New Market Regime? Why Diversified Funds Lost Value in May-June 2013

July 24, 2013 by

3

You may have recently received a quarterly statement from your wealth manager or 401K provider and discovered that your low risk portfolio lost value. Many well managed funds experienced a similar dip. This dip was “special” and it may signal a transition to a new market regime. I’ll explain the drop, why it was special, […]

Watch Out for Thinly Traded Stocks in Quant Strategies

July 19, 2013 by

0

Many people assume that all members of the Russell 3000 are “safe”.

StumpGrinder: Moving to Cash

June 21, 2013 by

6

StumpGrinder’s performance similar to other allocation funds.

Follow

Get every new post delivered to your Inbox.

Join 246 other followers