Are Cheap Stocks Expensive? A Simple Equity Factor Analysis Walkthrough

Are Cheap Stocks Expensive? A Simple Equity Factor Analysis Walkthrough

I have been sharing examples of simple real-time trading research on my Twitter account. I do this kind of thing a lot in the training program of our trading group – and I’m sharing in the hope that it might also help a wider audience. Here’s a piece of analysis I did recently on a really […]

Read more...

Tesla’s inclusion in the S&P 500 – Is there a trade?

The S&P index committee recently announced that Tesla, already one of the biggest stocks listed in the country, would be included in the S&P 500. Here’s the press release: Due to TSLA’s size, it was widely expected to have entered the S&P 500 index much earlier – but S&P has some discretionary criteria it applies […]

Read more...

Where does FX sit in a Systematic Trading Portfolio?

You rarely meet a rich forex trader. I’ve met plenty of rich traders who trade quant factors or stat arb. Plenty of market makers, futures spreaders and volatility traders that do nicely. But I don’t think I’ve ever met a rich forex trader. Jeez man – what a downer! Don’t run away, we’re gonna turn […]

Read more...

Some Things Just Go Up (If You Wait Long Enough)

  Here’s a chart of long-term asset performance…. The blue line shows returns from US stocks from 1900 to today. That’s a 48,000x increase in nominal value. The yellow line shows the returns from US bonds from 1900 to today. That’s a 300x increase in nominal value. If you look at this in isolation things […]

Read more...

Trading the US Election – Profiting from “Known Unknowns”

You’ve probably noticed that there’s a US election on the horizon. This is an event of known uncertainty: a “known unknown” in the now immortal language of Donald Rumsfeld. In trading, we sometimes observe marginal pricing inefficiencies around these “known unknowns”. For example, ahead of  stock earnings announcements or significant economic or policy announcements, we tend […]

Read more...

Book Review: Positional Option Trading by Euan Sinclair

This is a review of Positional Option Trading by Euan Sinclair.  Trading books set a low bar for the reviewer. 99% are full of facile feel-good advice (don’t fight the trend, always use a protective stop). The 1% that are useful tend to either be dry technical treatments (quants who don’t trade), or sporadically helpful […]

Read more...

How to extend ETF prices with mutual fund data using SQL

In this post, we explain how to use SQL to extend back ETF price data with total return data from mutual funds or indexes.   On Zero to Robot Master Bootcamp, we teach how to build a portfolio of three automated systematic trading strategies. One of them is a long term Risk Premia Harvesting strategy […]

Read more...

What Would it Feel Like to Invest in RenTech’s Medallion Fund?

Nearly everyone starts trading with unrealistic expectations. “If I make a 0.5% returns every day I can make over $100k in a year on 20k of starting capital.” 0.5% return every day sounds realistic, right? Wrong. Let’s sense check that… If we could make 0.5% returns every day… then our 20k would be worth: $123,000 […]

Read more...

Why Aren’t Call Options More Expensive Than Put Options? (In This Toy Example)

In the Robot Wealth Pro Community, we’ve started doing weekend “quant-teasers” where we discuss the solutions to quant problems. Here is a recent one… Why aren’t calls more expensive than puts for an asset which is more likely to go up than down? We have an asset trading at $100 for which the distribution of […]

Read more...

Weekly Roundup 29 May – Crash Protection, Sloppy Regressions and Data Munging Skillz

Here’s a round-up of our new articles this week. They cover crash protection, sloppy, noisy regressions, and data-munging skills. Finding Options for Effective Crash Protection Large capital losses can be devastating to your trading account. A couple of weeks ago, we explained how you can use SPY put options to protect your portfolio against severe market […]

Read more...