About 2018-02-04T12:18:42+00:00

François Lucas

  • Launched The SPY Surfer in 2011

  • Primary objective is to manage my own money and share my "quant" passion

  • Organized the first Quantitative Conference in Vancouver, BC, with M. Faber and G. Antonacci

  • Presented at PyData Vancouver and Vancouver Algorithmic Trading (sponsored by Quantopian)

  • Translated "Stocks on the Move", by Andreas Clenow

  • Attended many conferences: QuantCon (NYC), WFA (Whistler), ETF Vancouver

  • Originally from France, lived in England, Hong Kong and now Canada

  • MEng (Satellite Telecom, University of Surrey) and MBA (UBC)

Quant Friends

  • QuantCon NYC, 2016, 2017

  • WFA Whistler, 2017

  • QuantConf Vancouver, 2016

"Stocks on the Move" by A. Clenow

  • Book that I have translated in French

  • 100% Quantitative strategy applied to S&P500 stocks

  • Includes market trend filter

  • Rebalanced once a month

  • Year by year review

  • Sensitivity Analysis: Ranking, sizing, look-back period, ...

  • Backtested since 1999, no survivorship bias

Presentation at PyData Vancouver, April 4, 2017

Presentation at UBC, January 10, 2017

G. Antonacci and M. Faber in Vancouver, September 6, 2016

Recommended White Papers

  • Fact, Fiction and Momentum Investing, Asness, Frazzini, Israel, Moskowitz, 2014
  • Is Momentum an Echo, Goyal, Wahal, 2013
  • The Case for Momentum Investing, Berger, Israel, Moskowitz, 2009
  • Relative Strength and Portfolio Management, J. Lewis, 2012
  • Relative Strength Strategies for Investing, M. T. Faber, 2010
  • A Quantitative Approach To Tactical Asset Allocation, M. T. Faber, 2009
  • Generalized Momentum and Flexible Asset Allocation (FAA), W. J. K. and H. S.van Putten, 2012
  • Absolute Momentum: a Simple Rule-Based Strategy and Universal Trend-Following Overlay, G. Antonacci, 2013
  • Momemtum Analysis, Darwin Investment Strategies
  • Adaptive Asset Allocation:  A True Revolution in Portfolio Management, A. Butler & M. Philbrick, 2012
  • Does Trend-Following Work on Stocks?, Wilcox, C. and Crittenden, 2005
  • Stock Selection:  A Test of Relative Stock Values Reported over 17.5 Years, C. D. Kirkpatrick II, CMT, 2001
  • Value and Momentum Everywhere, C. S. Asness, T. J. Moskowitz, L. H. Pedersen, 2009
  • A Century of Evidence on Trend-Following Investing, AQR Capital Management, 2012
  • Returns to Buying Winners and Selling Losers:  Implications for Stock Market Efficiency, N. Jegadeesh, S. Titman, 1993
  • Momentum – A Contrarian Case for Following the Herd, GMO, 2010
  • Using a Z-score Approach to Combine Value and Momentum in Tactical Asset Allocation, P. Wang, L. Kochard, 2012

Recommended Books

  • A Man for All Markets, Thorp, 2017
  • Quantitative Momentum, Gray, Vogel, 2016
  • Efficiently Inefficient, Pedersen, 2015
  • Stocks on the Move, Andreas F. Clenow, 2015
  • DIY Financial Investor, Wesley R. Gray, Jack R. Vogel, David P. Foulke, 2015
  • Following the Trend, Andreas F. Clenow, 2013
  • Dual Momentum Investing, G. Antonacci, 2014
  • Trend Following with Managed Futures, A. Greyserman and K. Kaminski, 2014
  • The Ivy Portfolio, M. T. Faber & E. W. Richardson, 2009
  • Extraordinary Popular Delusions and the Madness of Crowds, C. Mackay, 1852 [yes, XIXth century]
  • The Definitive Guide to Relative Strength Investing, M. J. Carr, 2008
  • The Black Swan: Second Edition, N. N. Taleb, 2010
  • The Ascent of Money: A Financial History of the World, N. Ferguson, 2009
  • Way of the Turtle, C. M. Faith, 2007
  • Quantitative Value, W. R. Gray, T. E. Carlisle, 2013
  • All About Asset Allocation, R. Ferri, 2010
  • The Little Book That Beats the Market, J.  Greenblatt, 2010
  • What Works on Wall Street, 4th Edition, James P. O'Shaughnessy, 2012
  • Market Wizards, J. Schwager, 2012
  • The Intelligent Asset Allocator, W.  Bernstein, 2000
  • How a Second Grader Beats Wall Street, A. Roth, 2009
  • Millionaire Teacher, A. Hallam, 2011
  • The Gone Finshin' Portfolio, A. Green, 2008
  • The Guru Investor, J. P. Reese, 2009
  • When Markets Collide, M. El-Erian, 2008
  • Survival of the Fittest for Investors, D. Stoken, 2012
  • The Quants, S. Patterson, 2010
  • Why I Left Goldman Sachs, G. Smith, 2012
  • Fooling Some Of The People All The Time, D. Einhorn, 2008
  • Money Mavericks, Confessions Of A Hedge Fund Manager, L. Kroijer, 2010
  • The Big Win, S. L. Weiss, 2012
  • Too Big to Fail, A. R. Sorkin, 2011
  • The Smartest Guys In The Room, B. McLean, P. Elkind, 2003
  • Fault Lines: How Hidden Fractures Still Threaten the World Economy, R. G. Rajan, 2010
  • Capital in the Twenty-First Century, T. Piketty, 2014