This is a summary of links featured on Quantocracy on Tuesday, 10/02/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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When Diversification Fails [Alpha Architect]The paper investigates the following research question: Are left-tail vs. right-tail correlations symmetric for the majority of risky assets (including size and styles)? Is left-tail vs. right-tail correlations between stocks and hedge funds styles symmetric? Is left-tail vs. right-tail correlations between stocks and private assets 8direct real estate and private equity) symmetric? Is left-tail