This is a summary of links featured on Quantocracy on Friday, 01/07/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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The matrix effective rank: measuring the dimensionality of a universe of assets [Portfolio Optimizer]Quantifying how diversified is a universe of assets is an open problem in quantitative finance, partly because there is no definite formula for diversification1. Lets make the (reasonable) assumption that the way assets are moving together within a universe is important for its diversification. This in turn makes asset correlations within a universe important in determining how diversified it
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What Do Mutual Fund Investors Really Care About? [Alpha Architect]Itzhak Ben-David, Jiacui Li, Andrea Rossi, and Yang Song contribute to the literature on the behavior of individual investors with their July 2021 study What Do Mutual Fund Investors Really Care About?, published in the July 2021 issue of The Review of Financial Studies. They began by noting that while researchers agree that fund flows are strongly correlated with past performance, there is