15

Value has traditionally been one of the most important stock-selection signals for quantitative managers. However, since the late 2000s, following a rapid flow into quantitative investing, traditional value strategies have lost most of their predictive power and the returns generated from them have also become more volatile. The typical approach of ...


13

You are absolutely right to point out that most proactive participants in options markets prefer to be long gamma, and it is typically reactive market makers who take the opposite side of their trades. While the typical options trader (I find it difficult to call anyone trading options an "investor") does not hedge his position, market makers will attempt ...


8

Since the stock is listed on NASDAQ, you have access to fairly standard 10Q and 10K financial statements. So you can apply the analysis pioneered by Ed Altman in his Z-score paper - compare this company's fundamental ratios with those of other companies, and see how many of them went bankrupt historically. For example, Moody's KMV uses this approach to ...


8

There's a strong theoretical argument that makes the case for active management that is also supported by empirical research. First, check out Jonathan Berk's paper "Five Myths of Active Management". The paper reads like a clever Gedankenexperiment. Starting with a theoretical approach is better than starting with an empirical approach because as Berk ...


7

Short gamma is being of the view that realized volatility would be less than the implied volatility for the period in which an option is valid. So if you think realized volatility in the future would be consistently lesser than implied volatility at present, then you'd be short gamma. The premium one would receive by selling an option (call or put) is a ...


7

Advent Geneva is a complex event processing platform, which employs the latest advancements in artificial intelligence and big data. It employs techniques derived from blockchain technology and cryptography to speed up trading strategies. Under the hood, it uses a fast in-memory database whose kernel sits on an FPGA, to meets its demands in Ultra (in caps) ...


6

I have been told: Bankruptcy is very controversial Google Scholar Researchers. You might track companies ratios (e.g., debt to equity ratio, EPS, net income, cash per share (cash/sh), etc.). For instance, GE looks almost bankrupt. But, it is not and there is a very low probability that GE would file for any bankruptcy chapter, I'm just guessing. There ...


6

Morningstar Morningstar partnered with Quantopian, and the latter published the structure of Morningstar's equity fundamentals database: https://www.quantopian.com/help/fundamentals Quantopian users can use this data for free.


4

Compustat supports unlimited data export keeps the history of disbanded entities provides restatements since 1950 + point-in-time data since 1986 coverage since 1950 list of variables (data guide) Compustat is a S&P subsidiary. It goes as a plugin for CapitalIQ (also S&P), WRDS, CRSP, and other platforms. Pricing starts from \$3k. A platform ...


4

Find a friend with a Bloomberg terminal. If you are student check at your university, they might have access to different sources.


4

You will find elaborate answers to your question in this excellent new book: Quantitative Value: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors by Gray & Carlisle You can find a good summary over at CXO Advisory Group: A Few Notes on Quantitative Value


3

Here couple points that at least helped to formulate a daily guide for myself: Losses are just what they are, losses. You return tomorrow to play again. But bankruptcy means game over, you are done. Thus such event is to be avoided at all cost. Long-term, equities exhibit positive drift and have outperformed other competing asset classes. However, the path ...


3

'Inst. Owned' almost surely means "Institutionally Owned". With respect to the 103% ownership reported: Discrepancies caused by varying time lags in reporting ownership may skew the results Second, and perhaps most likely, is due to short selling. I might own 100 shares, lend them to Bill, and Bill might sell (short) the stock to Nancy. In this case both I ...


3

An active manager can be good for a few reasons. They can scale resources much better than an individual investor, and as a result can get better execution prices and access to assets that would be impractical for some individual investors(unsponsored foreign listings comes to mind). Better firms will have tax professionals available to minimize taxes ...


2

Directly from the Berk paper Five Myths of Active Portfolio Management: "Even more surprising is the extent of what the average manager adds. The mean of the distribution in the Exhibit is 6.5%. Given a management fee of 1.5%, this means that the data are consistent with an alpha of 5% for the average manager. "Of course, investors themselves never ...


2

I have read the 2008 and the 1988 version. The 2008 version is the 1940 version with commentary by accountants in added chapters to bring the book up to current methods and to discuss what changed in the world since the writing of the original 1940 book. The 1988 book is not by Graham as he had died in 1973, but primarily by Syndey Cottle with the blessing ...


2

Is there a noun for investment funds which do not disclose the assets they are investing in to their customers? Hedge fund? Other than 13F filling requirements( US specific) I don't really know any that make their entire book public to their investors. But to directly answer the question I haven't heard of a term that is meant to describe this. It just ...


2

The main difference is that with a binary option you are betting on a real economic risk, that exists independently of the bet. (For example, even if options did not exist, if stock prices go down pension funds will suffer losses, if the price of oil goes up Venezuela and Saudi Arabia will benefit). With gambling you are betting on an artificial risk, such ...


2

Look this is just a geometric sum: Assume interest is paid monthly at rate $r = 0.08/12$ (you can use the exact monthly equivalent if you want) and let $x_n = $total after $n$ months (including that month's interest and deposit). So $x_0= 100$ and $x_{n+1} = x_n(1+r) + d$, where $d = 5$ is your deposit amount (added at the end of the month). Applying the ...


2

It is true that you don't change your risk/return ratio but you can scale the ingredients of this ratio, meaning that you can e.g. scale up the level of risk you are prepare to take to also lever up your returns. Through that mechanism you can make use of very small spreads.


1

IPO valuation is super sophisticated. There is usually a Managing Underwriter, who has a team of analysts/asset pricers/investment bankers/lawyers/etc. with complicated terms and they go and value a company. They usually take control, assess and decide what share price is "suitable" for the company to go public. This team usually takes 7% commission and they ...


1

try a demo account of fair broker (Interactive Brokers if you are able to base account there) and you will see if it really works (1 month min) if it works good, find an investor (managed account is a good scheme). If you are not able to make anyone believe you, borrow money to fund your own account. Avoid friends and family - nothing is worse than going ...


1

The true difference between gambling and investment is the nature of the underlying probability distribution in my opinion. In gambling, you know the exact probabilities of outcommes behind every game and no deliberate actions can shift these probabilities. For instance, a coin toss in a perfect environment (sorry about the academic peculiarity) is 50% ...


1

Your question holds some water, but it is all about providing return atleast expected by the shareholders (cost of capital). Remember, it is shareholders money that gets invested in such project (if not borrowed). If project does not provide return that is being expected by the shareholders (cost of their capital or risk adjusted return) then why would they ...


1

I am not confident that I understand specifically what you are asking, but I hope this helps: What are theoretical approaches to model and answer this question? This question is rather broad. I will say that in comparing a random collection of purchases and sales of securities, with only the time between the transactions as varying among different ...


1

The problem is the way you compute profit, in which you are not accounting for the timing of cashflows. If you compute NPV's you get a better comparison. Also if you check the IRR, it will be 5% for both investments.


1

There a likely multiple source of this indicator becoming negative in general. In this particular case this is probably related to the investment of Japanese monies in foreign bonds. Which in turn looks to be an effect of the quantitative easing by the Bank of Japan.


1

In the Up scenario, there is not one possible outcome. There are multiple possible outcomes within Up. This could be (i) fill and price goes up, (ii) partial fill and price goes up, (iii) no fill prices goes up. All three outcomes have positive value in expectation, with that value descending as we go from (i) to (iii). The third outcome is profitable in ...


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