This is a summary of links featured on Quantocracy on Friday, 07/10/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Testing expectations [OSM]In our last post, we analyzed the performance of our portfolio, built using the historical average method to set return expectations. We calculated return and risk contributions and examined changes in allocation weights due to asset performance. We briefly considered whether such changes warranted rebalancing and what impact rebalancing might have on longer term portfolio returns given the drag