This is a summary of links featured on Quantocracy on Wednesday, 01/10/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Skew preferences for crypto degens [Investment Idiocy]An old friend asking for help… how can I resist? Here is the perplexing paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4042239 And here is the (not that senstional) abstract: Bitcoin (BTC) returns exhibit pronounced positive skewness with a third central moment of approximately 150% per year. They are well characterized by a mixture of Normals distribution with one normal
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How Do You Take Your Commodities? [Return Sources]Most portfolios are centered around stocks. Stocks are thought of as the primary return driver, while other additions to the portfolio are thought of less as return drivers, and more as diversifiers. The popular 60 / 40 portfolio is a prime example of this. The vast majority of the returns to this portfolio come from stocks, which are much more volatile than bonds. Bonds do contribute returns, of