This is a summary of links featured on Quantocracy on Monday, 01/20/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
The Scholz Brake: Fixing Germany s New 1000% Trader Tax [Financial Hacker]Would you like to read a 18-page pounderous law draft titled Law for introducing a duty to report cross-border tax structuring? The members of the German Bundestag apparently didnt. Nothing can be said against reporting cum-ex or similar constructs, so the new law, proposed by finance minister Olaf Scholz, passed legislation on December 12, 2019. Only afterwards its real content became
Diversification [Falkenblog]I was interested in calculating what the portfolio volatility would be for a portfolio given various correlation assumptions, and also the number of assets. So I took two portfolio of the S&P500 in two very different years: 2008 and 2017. The VIX had one of its highest average levels in 2008, at 31.5, while its lowest in 2017, at 11.0. Because I'm interested in low vol portfolios, I took
Private Equity: Fooling Some People All the Time? [Factor Research]Private equity return data should be viewed with caution Returns are likely overstated while volatility is understated Private equity returns are highly correlated to public equities TWO MAGIC WORDS This time is different might be the four most dangerous words in investing. Uncorrelated returns may just be the two most lucrative. These seven syllables have been applied across the span