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Predictive Alpha | Using scientific methods to illuminate alpha sources

Using scientific methods to illuminate alpha sources

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Predictive Alpha | Using scientific methods to illuminate alpha sources | predictivealpha.wordpress.com Reviews
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Predictive Alpha | Using scientific methods to illuminate alpha sources | predictivealpha.wordpress.com Reviews

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Using scientific methods to illuminate alpha sources

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Factor-based equity investing: is the magic gone? | Predictive Alpha

https://predictivealpha.wordpress.com/2016/01/10/factor-based-equity-investing-is-the-magic-gone

Using scientific methods to illuminate alpha sources. Factor-based equity investing: is the magic gone? January 10, 2016. January 10, 2016. Factor-based equity investing has shown remarkable results against passive buy-and-hold strategies. However, our research shows that the magic may have diminished over the years. Our four-factor model is based on the well-researched equity factors value, quality, momentum and low volatility with S&P 1200 Global. The median number of clusters across 1,000 bootstraps i...

2

Bootstrapping avoids seductive backtest results | Predictive Alpha

https://predictivealpha.wordpress.com/2016/01/20/bootstrapping-avoids-seductive-backtest-results

Using scientific methods to illuminate alpha sources. Bootstrapping avoids seductive backtest results. January 20, 2016. Nothing gets the adrenaline rushing as strong backtesting results of your latest equity trading idea. Often, however, it is a mirage created by a subset of equities, which have performed particularly well or poorly thereby inflating the results beyond what seems reasonable to expect going forward. What is particularly interesting in our backtest is that the historical sample (running t...

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FX: multivariate stochastic volatility – part 1 | Predictive Alpha

https://predictivealpha.wordpress.com/2016/03/15/fx-multivariate-stochastic-volatility-part-1

Using scientific methods to illuminate alpha sources. FX: multivariate stochastic volatility – part 1. March 15, 2016. March 21, 2016. We apply a (sequential) multivariate stochastic volatility model to five FX pairs. Using non-optimized settings our model beats a benchmark portfolio in terms of total return, but fails when you account for risk [note: we have edited the blog post to show results using mean-variance optimization rather than minimum-variance optimization]. And a monthly factor model. This ...

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Predictive Alpha | Using scientific methods to illuminate alpha sources | Page 2

https://predictivealpha.wordpress.com/page/2

Using scientific methods to illuminate alpha sources. Towards a better equity benchmark: random portfolios. December 24, 2015. January 26, 2016. Random portfolios deliver alpha relative to a buy-and-hold position in the S&P 500 index – even after allowing for trading costs. Random portfolios will serve as our benchmark for our future quantitative equity models. A market capitalization-weighted index, such as the S&P 500 index, is inherently a size-based portfolio where those equities which have done well.

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Welcome to Predictive Alpha | Predictive Alpha

https://predictivealpha.wordpress.com/2015/11/22/welcome-to-predictive-alpha

Using scientific methods to illuminate alpha sources. Welcome to Predictive Alpha. November 22, 2015. The Predictive Alpha blog is about quantitative trading and investing using the free statistical programming language R. The Predictive Alpha blog favors complete transparency so all relevant R code is freely available. This allows visitors of the blog to recreate our results and hopefully also promotes discussion and feedback. Towards a better equity benchmark: random portfolios. Enter your comment here.

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Quant News

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The latest research and news for quantitative traders. Fast Traders Make a Quick Buck: The Role of Speed in Liquidity Provision. A Bargain Hunter's Dream: High-Priced Stocks. Are expensive, that is, high-priced stocks, in reality the cheap ones from a fundamental perspective? A href=http:/ ssrn.com/abstract=2078535 The Golden Dilemma /a. A href=http:/ ssrn.com/abstract=2148691 An Impressionistic View of the 'Real' Price of Gold Around the World /a . The Term Structure of the Price of Variance Risk. At th...

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Predictive Alpha | Using scientific methods to illuminate alpha sources

Using scientific methods to illuminate alpha sources. GgplotHelper: easy and beautiful plots in R. April 12, 2016. Visual expression is key in transmitting information between producers and users of research regardless of the scientific field. After many painful hours of re-writing code for plots in R based on the extensive ggplot2 package we finally created an easy-to-use overlay for making beautiful plots in R. Following our two latest posts on multivariate stochastic volatility ( part 1. Hosted on Git...

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