SAC Capital Advisors: What You See is All There Is
The Justice Department filed criminal charges yesterday against SAC Capital Advisors, accusing the multi-billion dollar hedge fund of securities and wire fraud. What's interesting is [...]
Apple moves Higher–Quant Value Pleasure!
On July 19th we highlighted the quant value pain associated with Microsoft. Today we have some good news from a quantitative value type stock--Apple! A low [...]
Risk Parity Rebuttal
Risk Parity in a Rising Rates Regime Rob Croce, Rusty Guinn, and Lee Partridge A version of the paper can be found here. Want a summary [...]
Momentum has Serious Mojo!
212 Years of Price Momentum (The World's Longest Backtest: 1801-2012) Geczy and Samonov A version of the paper can be found here. Want a summary of [...]
Combine the January Effect and Positive Yield Curve for Higher Returns?
Stock Strategies and the January Barometer and the Yield Curve Lichend Sun, Chris Stivers, and Ajay Kongera A version of the paper can be found here. [...]
Mining for Bitcoin: Ponzi Scheme, Future Reserve Currency or Something in Between?
As technology increasingly marginalizes the use of physical money, the rise of virtual currencies, as alternatives to national fiat currencies, is perhaps inevitable. And if [...]
Socially Irresponsible Investing–A Path to Profits?
Can it be Good to be Bad? Anders Karlen Sebastian Poulsen A version of the paper can be found here. Want a summary of academic papers [...]
Trading the Equity/Future Spread
Dividend swaps as synthetic equity Joseph Clark A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Focusing on Yahoo Finance Too Much? That’s what the evidence says…
Online Search and Return Comovement Alvin Chung Man Leunga, Ashish Agarwala, Prabhudev Konanaa and Alok Kumar A version of the paper can be found here. Want [...]
Profiting from Bust Pension Funds?
Pension Plan Funding and Stock Market Efficiency Francesco Franzoni and Jose M. Marin A version of the paper can be found here. Want a summary of [...]
Aleph Blog Book Review
We post all reviews we come across on the web (let us know if we are missing any): https://alphaarchitect.com/reviews/ A recent review caught my attention: [...]
Pairs Trading Kicks Butt!
Pairs Trading: Performance of a Relative-Value Arbitrage Rule Evan Gatev, William N. Goetzmann, and K. Geert Rouwenhorst A version of the paper can be found here. [...]
Quantitative Value Video Snippet
[youtube url="http://youtu.be/lG_064_XvfY"]
Why aren’t you a slave to an algorithm?
http://www.aeonmagazine.com/world-views/steven-poole-can-algorithms-ever-take-over-from-humans/ A great article by Steven Poole. He highlights what Turnkey readers are slowing learning via our Models vs. Experts series: Speaking to the evidence [...]
Cheap Stocks Win…EVERYWHERE
Value Around the World Nilufer Caliskan and Thorsten Hens A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Simple Moving Averages vs. Exponential Moving Averages
We've seen a few cool posts comparing different moving average rules. Here is a recent example from Systemtradersuccess.com: http://systemtradersuccess.com/golden-cross-which-is-the-best/ Below are the results of different [...]
Japanese Bond Yields Spike!! Successful Abenomics or the Beginning of the End?
It appears Japanese monetary policy is beginning to resemble Kabuki. Kabuki is a form of Japanese theater that involves stylized performances that can appear positively [...]
Do REITs blow up if interest rates spike?
Depends on the time period analyzed... Positive correlation between rates and REIT returns prior to 2000 Negative correlation post 2000. Extreme positive interest rate moves [...]
Models vs. Experts #9: Diagnosing Acute Abdominal Pain
Computer-aided diagnosis of acute abdominal pain De Dombal, F. T., Leaper, D. J., Staniland, J. R., McCann, A. P., & Horrocks, J. C. British Medical [...]
Models vs. Experts #8: Graduate School Admissions
A case study of graduate admissions: Application of three principles of human decision making Dawes, R. M. American Psychologist, 26, 180-188 An online version of [...]