This is a summary of links featured on Quantocracy on Tuesday, 01/22/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Drawdowns and Portfolio Longevity [Flirting with Models]While retirement planning is often performed with Monte Carlo simulations, investors only experience a single path. Large or prolonged drawdowns early in retirement can have a significant impact upon the probability of success. We explore this idea by simulation returns of a 60/40 portfolio and measuring the probability of portfolio failure based upon a quantitative measure of risk called the
Corporate Debt In The Chinese Stock Market [Factor Research]China exhibits the worlds highest corporate debt as % of GDP However, Chinese stocks are not significantly more levered than U.S. stocks Asset and debt growth has stalled in 2018, likely indicating an economic slowdown INTRODUCTION The McKinsey Global Institute published an influential study in 2015 on the growth of global debt. The research note revealed that post the global financial crisis,