This is a summary of links featured on Quantocracy on Saturday, 10/27/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Variance term premia [SR SV]Variance term premia are surcharges on traded volatility that compensate for bearing volatility risk in respect to underlying asset prices over different forward horizons. The premia tend to increase in financial market distress and decrease in market expansions. Variance term premia have historically helped predicting returns on various equity volatility derivatives. The premia themselves can be
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Alpha Architect Weekly Recap: Tracking Error and the Mix Versus Integrate Debate [Alpha Architect]You can watch the video via the link below: This week Ryan and Jack discuss several important topics. First, they discuss the tracking error associated with trend-following strategies. Second, they chat about a paper by researchers from Goldman Sachs, Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending.