This is a summary of links featured on Quantocracy on Monday, 02/05/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Introducing max-GM, a new(?) performance statistic [Investment Idiocy]Do you remember this post? https://qoppac.blogspot.com/2022/06/vol-targeting-cagr-race.html Here I introduced a performance metric, the best annualised compounding return at the optimal leverage level for that strategy. This is equivalent to finding the highest geometric return once a strategy is run at it's Kelly optimal leverage. I've since played with that idea a bit, for example in
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HY Bonds = High or Hazardous Yield? [Finominal]The correlation of high yield (HY) to investment-grade (IG) bonds has been increasing HY bonds can simply be replicated via a combination of the S&P 500 and IG bonds Replication portfolios offer better Sharpe ratios, which makes a case against using HY bonds in asset allocation INTRODUCTION When we recently ran a peer review analysis for BlackRocks 60/40 Target Allocation Fund (BIGPX) using