This is a summary of links featured on Quantocracy on Monday, 01/30/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
Equity & Bond Correlations Higher than Assumed? [Finominal]Using monthly versus daily returns when calculating correlations can change the perspective Foreign stock markets and US bond markets were highly correlated to US stocks using monthly returns Diversification benefits may have been significantly overstated using daily returns INTRODUCTION Investing can seem like an endless cycle of booms and busts. The markets and instruments may change tulips
Can factor investing become scientific? [Mathematical Investor]A new paper, Causal factor investing: Can factor investing become scientific?, has been written by our esteemed colleague Marcos Lopez de Prado of Cornell University, Abu Dhabi Investment Authority and True Positive Technologies. In his 75-page preprint, Lopez de Prado argues that almost all journal articles in the factor investing literature make assertions that are merely associational
Political beta: what does portfolio theory tell us? [Alpha Architect]Using portfolio theory, the authors of this piece develop an approach for estimating the degree of political risk between a country and its export destination and the status of political relationships. The research about political beta presented is the first to apply portfolio theory to problems associated with global politics. Political Beta Raymond Fisman, April Knill, Sergey Mityakov, and