Posts filed under “Quantitative”

US Quantitative Primer 2013

Last week, I mentioned Merrill Lynch’s Market Analysis Technical Handbook. I was somewhat smitten by the wire house attempt to explain the basics of technicals to a broader layperson audience.

Several BP readers at Mother Merrill (as she used to be known) directed my attention to another annual release: US Quantitative Primer 2013. It is described thusly:

Everything you wanted to know about Quant
Our fourth publication of the Quantitative Primer includes historical charts and
explanations of the proprietary stock screens that we draw upon in our strategy
work, and which we use as a crucial input into our investment views. What’s new:

This year, we have added a few new features, including an in-depth focus on what drives market performance, an analysis of quantitative factor sensitivity to macro variables, and an update to our roadmap for stock pickers including historical intra-stock correlation charts for each industry group.

Again, color me impressed that a big firm would put out a document that at its heart challenges many of the fundamental principles the rest of the firm is built upon.

I do not see a public link for this one (either) but I have put in a request.


US QUant



Everything you wanted to know about Quant
Savita Subramanian
Equity & Quant Strategist

Category: Analysts, Digital Media, Quantitative

Putting Investor Bearish Sentiment into Context

Individual Investors Are Not Buying It Click to enlarge   Lots of people have been discussing how negative investor sentiment is, showing the chart above. It shows markets making new all time highs as expectations that markets will be higher six months hence is at a mere 19% of AAII respondents. (See Individual Investors Are An…Read More

Category: Contrary Indicators, Investing, Quantitative, Sentiment

The Dangers of Non-Modeled Narrative Story Tellers

  “He can take a model and turn it into a narrative”   Right after the election, Felix wrote a post “When quants tell stories.” Clever as it was, I had issues with the underlying premise – namely, that the value of Nate Silver’s modeling lay more in the narrative tale as told by Silver…Read More

Category: Investing, Mathematics, Philosophy, Politics, Quantitative, Really, really bad calls

Michael Belkin 2:30

Category: Quantitative, Think Tank

Meb Faber: Buy Cheap Cyclically Adjusted P/E (CAPE)

Cyclically Adjusted P/E Click to enlarge:     Meb Faber of Cambria Investment Management looks at 10 years of earnings. Based on a methodology developed by Yale University Professor Robert J. Shiller, Faber concluded from an analysis of cyclically adjusted price-earnings ratios, designed to minimize the effect of economic swings on profits. Cyclically adjusted P/E, also known as CAPE,…Read More

Category: Earnings, Quantitative, Technical Analysis, Valuation

140 years of Equity Yield vs US Bond Yield

Over the last few weeks, we have discussed the questionable data and mediocre results of Jeremy Siegel’s Stocks for the Long Run (See this, this and this). When we step back and take a look at The Really Long Run, we see a much clearer picture. The deep historical perspective as it pertains to the…Read More

Category: Dividends, Fixed Income/Interest Rates, Investing, Quantitative, Valuation

Algorithmic Trading, Promise and Perils

Click to enlarge:   Bloomberg Echoes looks at the history of computer driven snafus: When machines replace seasoned traders and market makers, mistakes can occur at dizzying speed. It happened with the notorious “flash crash” on May 6, 2010, and again on Aug. 1 this year, when software at Knight Capital Group Inc. (KCG) malfunctioned,…Read More

Category: Markets, Quantitative, Trading

Buy Neutrinos

  Must read article in Spetember edition of Wired Magazine on How Wall Street Got Addicted to HFT. In light of the JKnight Trading snafu, Wired decided to post it on line earlier than suual. Here is an excerpt: “Faster and faster turn the wheels of finance, increasing the risk that they will spin out…Read More

Category: Quantitative, Really, really bad calls, Trading

Nanex: Speed Kills

Whenever I have no idea about some event, rather than hypothesize some half-assed theory, I prefer instead to go to the pros who know their area of expertise better Thus, for the the Knight Trading glitch, I direct your attention to Nanex: Knightmare on Wall Street On August 1, 2012, starting at market open (9:30 EDT), our…Read More

Category: Markets, Quantitative, Trading

Uncertainty Quantified (Not)

No sooner does this morning’s “Uncertainty” piece go up when someone emails me this “quantified” version of uncertainty. The claim is made that “Nick Bloom and Scott Baker of Stanford University and Steve Davis of the University of Chicago” have figured out how to measure uncertainty:     Sadly, no. This is merely an index…Read More

Category: Digital Media, Investing, Psychology, Quantitative