This is a summary of links featured on Quantocracy on Tuesday, 01/17/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Diversification Ratio: Measuring Portfolio Diversification [Portfolio Optimizer]Continuing the series of blog posts on diversification indicators, I describe in this post a correlation-based measure of portfolio diversification called the diversification ratio, initially introduced by Yves Choueffaty and Yves Coignard in their paper Toward maximum diversification1 and later extensively studied in other papers from people at Think Out of the Box Asset Management (TOBAM)23. I
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Expected Returns for Private Equity Will Probably Suck [Alpha Architect]This article attempts to demystify the approach and methodology used to characterize the risk and return relationship in private equity today. The illiquid nature of the asset class makes the demystification of private equity returns difficult to achieve under any circumstances. Still, the framework presented in this article should move the reader closer to the goal. Demystifying Illiquid Assets:
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An Unprecedented Breadth Trifecta has Triggered [Quantifiable Edges]On Thursday afternoon I witnessed 3 different breadth thrust signals I watch all trigger on the same day. The signals, with link to learn more about them are: Walter Deemers Breakaway Momentum (BAM) signal Wayne Whaleys Advance Decline Thrust (5) from his paper Planes, Trains, and Automobiles: A Study of Various Market Thrust Measures Quantifiable Edges Triple 70 thrust signal.
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Beta in Beta-Neutral Factors? [Finominal]Beta-neutral value, momentum, and low volatility factors are currently highly correlated to the S&P 500 The correlation is temporary rather than structural Likely explained by the downturn in tech stocks that benefits these factors INTRODUCTION We recently published our quarterly Factor Olympics report (read Factor Olympics 2022) which highlighted the best year for factor investing in the last