Cracking Markets

Risk Parity Asset Allocation This article is a primer into the methodology we use for the Portfolio Risk Parity report, which is a part of our Quantpedia Pro offering. We explain three risk parity methodologies – Naive Risk Parity (inverse volatility weighted), Equal Risk Contribution and Maximum Diversification. Quantpedia Pro... Read more

For the last seven years since I started trading my own account I've pretty much kept the same set of futures markets: around 40 or so, with very occasional changes. The number is limited, as to trade more markets I'd need more capital. The set of markets I have is... Read more

Episode #308: Best Idea Show – Maciej Wojtal, Amtelon Capital, “I Saw Iran As Potentially The Biggest Transformational Opportunity Since Russia” Guest: Maciej Wojtal is the Chief Investment Officer for Amtelon Capital. He has 12 years of experience in the financial industry. He started his career as an equity... Read more

A stationary process has a mean and distribution that’s consistent through time. You can use visual inspection, global vs. local analysis, and statistical tests such as the Augmented Dickey-Fuller (ADF) test to identify stationarity using Python.This post assumes you understand what stationarity is and why it’s important.Note: I use matplotlib... Read more

Episode #307: Vikram Mansharamani, Harvard Lecturer and Author, “In All Bubbles, You Usually Have A ‘This Time It’s Different’ Story” Guest: Dr. Vikram Mansharamani is a global trend-watcher who shows people how to anticipate the future, manage risk, and spot opportunities. He is the author of “THINK FOR YOURSELF:... Read more

Stationarity means that the statistical properties of a process that creates a time series are constant over time. This statistical consistency makes predictable distributions and is an assumption of many time series forecasting models.You’ll learn what stationarity is in a visually intuitive way in this post.Key TakeawaysStationarity refers to a... Read more

This article is going to be slightly different than usual. For people following me for a few months, you must have seen different articles or videos where I am using math, science and probability to help predict the market. Lately, I started to take an interest in cryptocurrencies. Seems like... Read more

One of the challenges of using a quantitative approach to investing in individual stocks is choosing the actual strategies to use among of sea of seemingly ever expanding strategies. In my quant work I’ve narrowed down the universe of strategies to 11 but that is still an overwhelming number of... Read more

Episode #306: Jeff Seder, EQB, “We Ended Up The First Triple Crown Winner In 37 Years” Guest: Jeffrey Seder founded EQB, Inc. (Equine Biomechanics and Exercise Physiology), a high-tech sports medicine startup, in 1978 after working as a groom in racehorse barns and breeding farms and then managing a race... Read more

Hunt for Yield Thanks to quantitative easing, we see record-low interest rates. While yields for short to intermediate maturities in the US are lower than the inflation but still positive, other developed markets such as Japan or European countries even have bond yields negative. Still, it does not implicate that... Read more

Episode #305: Marc Faber, The Gloom, Boom & Doom Report, “The Environment We’re In Favors Quick Profits And Long-Term Loss” Guest: Marc Faber set up his own business in June 1990, publishing a widely read monthly investment newsletter “THE GLOOM BOOM & DOOM” report which highlights unusual investment opportunities. Dr.... Read more

Proprietary trading occurs when a trader trades stocks, bonds, commodities, and other financial instruments with a firm’s own money. Traders who make these types of traders are often called prop traders, short for “proprietary trader”.Proprietary trading is a way for financial firms, commercial banks, or trading organizations to earn by... Read more

Episode #304: Damon Ficklin, Polen Capital, “Even Though We Are Clearly A Growth Manager, A Lot Of Us Have Value-Oriented Roots Guest: Damon Ficklin joined Polen Capital in 2003. Mr. Ficklin is Head of the Large Company Growth Team and the lead portfolio manager of the firm’s Global Growth strategy. ... Read more

Market Sentiment and an Overnight Anomaly Abstract Various research papers show that market sentiment, also called investor sentiment, plays a role in market returns. Market sentiment refers to the general mood on the financial markets and investors’ overall tendency to trade. The mood on the market is divided into two... Read more

Episode #303: Kevin Lozer, Holistiplan, “Streamline And Scale The Tax Planning Process For Advisors” Guest: Kevin Lozer, CFP is the co-founder of Holistiplan, an end to end tax planning tool for financial advisors. Kevin brings a lifelong interest in the technology startup space to Holistiplan. He has been an active... Read more