Welcome to my online repository of research and insights on automated trading system development
A decade ago, Cass Business School Professor Harry M. Kat wrote a paper entitled Managed Futures and Hedge Funds: A Match Made in Heaven. In the paper Kat studied the impact of adding managed futures to traditional bond/stock portfolio allocations. In comparison to hedge funds, Kat found that: Apart from their lower expected returns, managed [...]
Entries Tagged as 'Equities'
Managed Futures: still the Better Diversifier?
October 7th, 2012 · 4 Comments · Equities, Futures, Trend Following
Monthly vs. Daily Trading – updated
March 13th, 2012 · 5 Comments · Backtest, Equities, Futures, Strategies
2011 offered challenging market conditions for trend followers (as illustrated by both the State of Trend Following and the Trend Following Wizards reports). The second half of the year in particular threw a few “curve balls”, in the form of wild volatile moves with inter-market correlations spiking up. With this backdrop, I wanted to revisit [...]
Tags: monthly
S&P make the news… with a Trend Following Index
August 10th, 2011 · 34 Comments · Equities, Fund Review, Futures, Trend Following
They say any publicity is good publicity… If that’s the case, Standard and Poor’s might have achieved the “marketing coup” of the year/decade/century (time will tell) with their downgrade of US credit rating last Friday (possibly thanks to a $2 Trillion Mistake). SGMI: a new Trend Following Index But this is not the piece of [...]
Tags:
Some Complications of Monthly Trading
May 18th, 2011 · 4 Comments · Equities, Strategies
I was recently looking at monthly momentum/rotation trading systems with stocks. The concept seems to have become quite popular in the blogosphere in the last few years. See this earlier post for another monthly trading discussion The generic concept for a rotation strategy is usually fairly simple: pick a relatively large set of instruments, calculate [...]
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ETF v. Futures: a Quantification
February 9th, 2011 · No Comments · Code, Data, Equities, Futures
I have already covered the idea of using ETFs in place of Futures. Today, I wanted to run a quantitative comparison between the two instrument types The ETF sector has been growing at an impressive rate, with new offerings popping up every month and providing a wider choice in selecting a portfolio to trade. One [...]
Tags: correlation·etf
