This is a summary of links featured on Quantocracy on Tuesday, 01/15/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Harvesting Risk Premia [Robot Wealth]Trading and investing doesnt have to be complicated. Check out this chart: source: Dimson, Marsh and Staunton, Triumph of the Optimists The blue line shows returns from US Stocks from 1900 to today. Thats a 48,000x increase in nominal value. The yellow line shows returns from US Bonds from 1900 to today. Thats a 300x increase in nominal value. So its pretty obvious what we need to do
The Most Volatile Stock Markets in the World [Quant Rocket]Many quantitative trading strategies thrive in high volatility regimes, while other trading strategies work best in low volatility regimes. So which global markets are the most and least volatile? This post compares the daily, overnight, and intraday volatility of 17 countries. Methodology Using historical data from Interactive Brokers, I calculate the standard deviation of daily (close-to-close),
Equity investing is Riskier than You Probably Expected [Alpha Architect]The purpose of this study was to examine the changes in the distribution of the US equity risk premium as the return horizon varies from monthly, annually, 3 year, 5 year, 10 year, 20 and 30 year periods. The equity premium was calculated as the monthly difference between the Market and Treasury bill returns. Two types of simulations were conducted: (1) the first simulation treated the sample of