ETF Prophet

I read an article that Goldman Sachs’ flagship “Global Alpha”  fund http://www.cnbc.com/id/44545789  was closed today following some hefty losses this year.  To many it is a dark day for quantitative trading/investing when the so-called “best and brightest” are hanging up their gloves. I wouldn’t read too much into this because Goldman likely saves its best and [...]

With so many comments and questions regarding the last post http://cssanalytics.wordpress.com/2011/08/09/forecast-free-algorithms-a-new-benchmark-for-tactical-strategies/ , I decided to take the unusual but more functional approach of writing a FAQ to address these issues for both those that were kind enough to  make intelligent contributions and to new readers. Note that it was brought to my attention that fellow [...]

We all spend most of our time creating strategies with the promise of “alpha”—excess returns adjusted for risk to some benchmark. The most desirable strategies for many traders/investors are tactical asset allocation models because they are easy to implement and tend to be more reliable than capitalizing on short-term effects that are constantly in flux. [...]

It is possible to make minor adjustments to strategies that can both improve their backtest performance, but also reduce the real costs of trading. The trend-follower  will always pay more to enter a trade due to the increased slippage and market impact costs. A further “tax” in the modern era across all markets is the [...]

A lot of research has been written on combining mean-reversion with trend filters, but surprisingly little if no recent research has focused on the opposite approach:  attempting to follow the trend with less whiplash. What does that mean? Well anyone who has had the experience of trying to follow a trend typically has to endure [...]