Data Trends for Investment Professionals


Meet the winners of the 2016 Big Data Big Impact competition!

Quandl recently sponsored the annual Big Data Big Impact competition, and we’re proud to share the winning team’s project today. Undergraduates from the University of British Columbia -- Benjamin Lim, Lilian Lau, Prapon Wongsangaroonsri and Taeyoon Lee -- used Quandl’s World Bank data to examine the relationship between exports and GDP in developing countries. The annual competition encourages students to evaluate one of the United Nations Sustainable Development Goals. The UBC team identified exports as a major channel for growth in Least Developed Countries (LDC). In their preliminary analysis, they created a heat map for GDP growth. “Quandl’s API simplified our...

The Comprehensive Guide to Stock Price Calculation

[mathjax] Adjusted stock prices are the foundation for time-series analysis of equity markets. Good analysts insist on properly-adjusted stock data. But the best analysts understand the adjustment process from first principles. This is Quandl's guide to the creation and maintenance of accurate adjusted historical stock prices. Table of Contents Introduction Adjustment Principles 1.Cash Dividends 2.Stock Dividends 3.Stock Splits 4.Reverse Stock Splits 5.Spinoffs 6.Mergers and Acquisitions 7.Buybacks Implementation Challenges Introduction Below is a graph showing the unadjusted or nominal closing price of Exxon (XOM) stock every day since 1970. Of course, this graph says nothing about the returns an investor in...

The Seven Deadly Sins of Quantitative Data Analysts

Sooner or later, every quant is tempted by forbidden fruit. These all-too-human traits can permeate even the most sophisticated analysis. Keep these tips in mind as you develop strategies, and you just may turn vice into virtue. Download the printable version [media-downloader media_id="365" texts="here"].

The Tao of Alpha

In 2004 I was running a hedge fund consultancy, where I advised many of the world's leading hedge funds. With this perspective, I wrote an article called The Tao of Alpha. The article offers a unique viewpoint on how alpha was then used and understood. We have transcribed the original article below. The Global Alpha Shortage Even the least sophisticated of investors understand that alpha is something to be pursued. Alpha is good. And more alpha is better. Not surprisingly then, most marketing documents are laced with the word. It slips easily off the tongue of marketers and managers. It appears in conference titles, as in “Portable...

Quandl Launches Intraday Data

One of our most popular user requests has long been that we add intraday data to Quandl’s data coverage. The wait is over. We are thrilled to announce that Quandl now supports intraday data for US equities. You can now look at market fluctuations with greater granularity than ever before. We begin with five exceptional databases of intraday equity data: S&P 500 One Minute Bars NASDAQ 100 One Minute Bars Dow Jones Industrial Average One Minute Bars Dow Jones Utilities Average One Minute Bars Dow Jones Transportation Average One Minute Bars These databases are provided by AlgoSeek, a leading provider...

A Quant’s Approach to Building Trading Strategies: Part Three

This is the third part of our interview with a senior quantitative portfolio manager at a large hedge fund. In the first part, she discussed the theoretical phase of creating a quantitative trading strategy. In the second part, she described the transition into “production.” This interview received so many excellent questions that we've dedicated an entire post to the answers. You can read the first part of the interview here and the second part of the interview here. Readers' questions have been lightly edited for clarity. 1. How do you monitor and manage your model once live? What additional checks and procedures...

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