This is a summary of links featured on Quantocracy on Friday, 02/14/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Benchmarking the portfolio [OSM]In our last post, we looked at one measure of risk-adjusted returns, the Sharpe ratio, to help our hero decide whether he wanted to alter his portfolio allocations. Then, as opposed to finding the maximum return for our heros initial level of risk, we broadened the risk parameters and searched for portfolios that would at least offer the same return or better as his current portfolio and would
Research Review | 14 February 2020 | Business Cycle Risk [Capital Spectator]A New Index of the Business Cycle William B. Kinlaw (State Street Global Markets), et al. January 2020 The authors introduce a new index of the business cycle that uses the Mahalanobis distance to measure the statistical similarity of current economic conditions to past episodes of recession and robust growth. Their index has several important features that distinguish it from the Conference