Tag Archives: White papers

Factor Investing – best white papers of 2016

Factor Investing – the best white papers of 2016

In this guest post, Andrew Perrins, CEO of Savvy Investor, shares some of the best Factor Investing white papers from the last 12 months.

Smart Beta strategies continue to gain ground

Factor investing strategies continue to grow in popularity, so it is no surprise that many of the most popular papers on Savvy Investor last year were written on this subject. Click to see our list of The Top Smart Beta Papers of 2016 from the recent Savvy Investor Awards. The overall award for this category went to EDHEC-Risk Institute, who produced a number of excellent papers on the subject.

Below I list the winning paper of 2016, together with other popular papers that have been published already on Savvy Investor in 2017.

Check out this guest blos post here

In case you missed earlier this :

Yes this Quant Analytics is coming so much sooner than you know. Once running, all bundled courses will be removed permanently from the ELITE . As explained in the video above, these courses have been evaluated by our marketing expert who feels they may be worth thousands each alone. Who knows? But there is already an intro to a Day Trading Guru charging well over $50k/year for his services. What should that tell you? There is a market willing to pay for these premium services. Guess what this new Analytics service will target? I posted this message on my Facebook earlier:

If you think people cannot charge $50k as a mediocre ‘day trading guru’, you live in another world. When you compare what I am about to unleash, I should be able to charge 4-5x that to 7-9 digit folks who run trading firms. These are the same people who want to automate their successful trading operations. Take heed while you can to take advantage of my offerings NOW! Each one will be spun out where my marketing genius claims I should be charging thousands for each one. That day is coming very soon. Take it or leave it, I will be going premium as I hinted a while back.http://quantlabs.net/mkt/quant-elite/


IT IS NOW OR NEVER!

In summary, if you have the technical skills, you may want to take advantage of what this service has to offer.

Either way, if you are a newbie a programming, you may still want to check this out here

What is the latest status of learning Python R for algo trading

Somebody who has been on my newsletter list has come back to ask about this new transition from going from Quant Elite membership to my new Analytics service.

I made a video response here

I said in the video that I’m building out the new analytic service as we speak. I am hoping to move ahead with the new analytics service much sooner than later.

Here is what I mean

As said, my Quant Elite will be closing and I’m already seeing much content being stripped away as I move everybody into the new analytics service.

Thanks Bryan

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Factor Investing – the best white papers of 2016

In this guest post, Andrew Perrins, CEO of Savvy Investor, shares some of the best Factor Investing white papers from the last 12 months. 

 

Smart Beta strategies continue to gain ground

 

Factor investing strategies continue to grow in popularity, so it is no surprise that many of the most popular papers on Savvy Investor last year were written on this subject. Click to see our list of The Top Smart Beta Papers of 2016 from the recent Savvy Investor Awards. The overall award for this category went to EDHEC-Risk Institute, who produced a number of excellent papers on the subject.

 

Below I list the winning paper of 2016, together with other popular papers that have been published already on Savvy Investor in 2017.

The Robustness of Smart Beta Strategies (EDHEC-Risk Institute, 2016)

This EDHEC paper examines the importance of robustness for smart beta strategies, explaining how a strategy being “relatively robust” differs from “absolute robustness”. The authors describe how the robustness of smart beta performance can be assessed and quantified, describing various approaches, which may be used to improve the robustness of smart beta strategies.

Fundamentals of Efficient Factor Investing (FAJ, 2017)

This paper adapts traditional portfolio theory to more recently popularized factor-based investing. It simulates optimal combinations of factor and security portfolios using US stocks from 1968 to 2015.

Concerns regarding the new Fama-French 5-factor model (Robeco)

Eugene Fama and Kenneth French have revamped their famous 3-factor model by adding two new factors to analyze stock returns: Profitability and Investment. But this 5-factor model raises many questions, and competing academic models are already being proposed.

Capacity of Smart Beta Strategies: A Transaction Cost Perspective (BlackRock)

Using a transaction cost model, the authors from BlackRock estimate the capacity of momentum, quality, value, size, minimum volatility, and a multi-factor combination of the first four strategies.

Factor-based investing: the devil is in the detail (LGIM, Jan 2017)

This LGIM paper discusses the key concepts behind factor-based investing. It highlights the importance of undertanding and translating them.

Building Confidence in Smart Beta Equity Strategies (Goldman Sachs)

Andrew Alford examines some reasons for investors’ limited adoption of Smart Beta equity strategies. He is optimistic that allocations will increase over time as investors continue to evaluate these strategies.

 

Savvy Investor www.savvyinvestor.net is the world’s leading platform for the distribution of white papers to global institutional investors. Registration is free, and provides access to over 15,000 white papers, as well as a personalised newsletter, keeping you up to date with investment news and research, and a global directory of investment conferences.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

6-day quant bootcamp next month / white papers / quant forum … blah blah

6-day quant bootcamp next month / white papers / quant forum … blah blah

From one of my fave educators in this field
I. ARPM Bootcamp 2014
Less than a month to the six-day course Advanced Risk and Portfolio Management Bootcamp!
Dates: August 11-16, 2014. Location: New York University – Kimmel Center.
The ARPM Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in nine heavily quantitative hours each day for six days, with theory, live simulations, review sessions and exercises.
Topics include portfolio construction, factor modeling, liquidity and execution, risk modeling, and much more (accreditation for 40 CE units CFA Institute and 40 CPE units GARP)

The ARPM Bootcamp features a Gala Dinner with world-renowned quants (Rob Almgren, Peter Carr, Bruno Dupire, Alex Lipton, Bob Litterman, Fabio Mercurio, Steven Shreve, …). We also make donations to several charities via One More Reason (to see video, photos, feedback and more from last year’s ARPM Bootcamp, click here)
Much support comes from our Educational Supporters (GARP, CFA Institute, PRMIA, Society of Actuaries, …); our Corporate Supporters (PricewaterhouseCoopers, Mathworks, Axioma, Northfield, MSCI, NAG,…); and several Masters in Financial Engineering (CQF, Washington, MIT, Carnegie Mellon, NYU, Cornell, …)

For program and overview, click here. To register, click here.


 

II. Featured white papers: special issue on diversification
 The SSRN Research Paper Series for Advanced Risk and Portfolio Management has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us at ssrn@symmys.com.
Selected featured articles:
  • Testing Asset Pricing Theory on Six Hundred Years of Stock Returns-Prices and Dividends for the Bazacle Company from 1372 to 1946, by D. Le Bris, W. N. Goetzmann, S. Pougetread article
  • Economic Capital Modeling Closed Form Approximation for Real-Time Applications, by T. Ribarits, A. Clement, H. Seppala, H. Bai, S. Poon, read article
  • Regime Shifts and Stock Return Predictability, by R. Hammerschmid, H. Lohre, read article
  • Reconciling Factor Optimization with Portfolio Constraints, by B. Gnedenko, I. Yelnikread article
  • Kinetic Component Analysis, by M. Lopez de Prado, R. Rebonato, read article

                                                                   

   III. Buy-side quant discussions on LinkedIn


View our technical discussions on the SYMMYS forum on LinkedInSample discussions:

– VaR with time series of unequal lenght
– Converting Log Return Covariance to Return Covariance
– Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
– Non-normally distributed returns: which models to use for SAA?

Other quant forums exist, but our group focuses on quant buy-side issues. Also, no advertisements here, only practical knowledge sharing! Join to contribute papers, code, or thoughts on topics such as portfolio construction, drawdown control, liquidity risk, market impact, estimation and forecasting, etc. 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Quant Book for Model Research and HFT Technology White Papers

Quant Book for Model Research and HFT Technology White Papers

igxglobal specialises in customised network infrastructure & security having designed and build data centers for some of the most prestegious exchanges in UK & USA. We are now hosting a series of White Papers for free download on our website written by our senior Engineers and our technology partners.

have a read:

emea.igxglobal.com

IGX Global has an extensive range of in house competence in various technologies including Juniper, Palo Alto Networks, F5 Networks, Arista Networks and various others. Check back here for new White Papers written by our…

 

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Yes, but can you guarantee that an online trading application is 100% safe against a thief who has stolen your user ID and password?

 

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As you’re aware nothing is 100% safe if it’s online as the malwares and hackers are becoming more sophisticated on a daily basis. However working with some of our cutting edge technology partners including Palo Alto, FireEye and Juniper we provide the best network security solutions that are available on the market. As I mentioned, feel free to have a read of some of our white papers and from there we do run free 30 minute webinars detailing these technologies.

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Picture this scenario:
1. A thief has stolen your online banking user ID and the piece of paper on which you wrote your password. (He also did the same for your share trading account, as it was lying around)

1. While he was doing that, he stole your ATM card, and the piece of paper on which you wrote your PIN code.

1. Not content with that, his spy camera recorded your last login

1. Just to be thorough, his network snooper captured every keystroke you entered.

Does this mean he can access your accounts? Of course not.
Please see the fraudproof ATM and online securities trading application at http://www.designsim.com.au

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Coming soon here at CashForLifeTV.com: Quant Job Board, White Papers/Docs, Community, Software store,

We are working on some major additions to this site. This includes:

1. JOB BOARD!!!

2. Community profile area.

3. Online store for upcoming store of future scripts, reports, etc.

4. Huge selection of online documents for Quant including sought after white papers.

These will be exciting times ahead!!

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

For senior managers – a large number of White papers and reports on Risk Management is available on Global Risk community site

This was posted in a Linkedin group:

For senior managers – a large number of White papers and reports on Risk Management is available on Global Risk community site

http://globalriskconsult.ning.com/
To be able to look at the documents, you have to sign up to the site, which takes only 1 minute, than go to Forum.
With more then 400 senior executives, this is the world’s premiere online community for risk executives, service providers, entrepreneurs, investors, recruiters where you can find:

* a mass of useful resources
* exclusive networking opportunities with leading peers around the world
* share your ideas and knowledge
* discover new leads and business opportunities
* promote and organise events

and much much more.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!