This is a summary of links featured on Quantocracy on Friday, 02/04/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Ulcer Performance Index Portfolio Optimization [Portfolio Optimizer]The Ulcer Performance Index1 (UPI) is a portfolio reward-risk measure introduced by G. Martin2 similar in spirit to the Sharpe Ratio, but using the Ulcer Index (UI) as a risk measure instead of the standard deviation. In this blog post, I will present the mathematics behind the Ulcer Performance Index portfolio optimization, and compare the results of Portfolio Optimizer with those of the Python
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Linking Impact in Divergence Attribution [Quant Dare]The performance of a portfolio during a single period can be attributed to a set of factors, but in order to aggregate those daily factors and get a breakdown of the portfolios total performance during a multi-period (for example 1Y), we have to make use of an smoothing algorithm. This is due to the fact that single-period factor returns are not additive; they are referred to different bases.
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Is The Value Premium Smaller Than We Thought? [Alpha Architect]From 2017 through March 2020, the relative performance of value stocks in the U.S. was so poor, experiencing its largest drawdown in history, that many investors jumped to the conclusion that the value premium was dead. It is certainly possible that what economists call a regime change could have caused assumptions to change about why the premium should exist/persist. For example, if the