This is a summary of links featured on Quantocracy on Monday, 03/14/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Risk-Managed Equity Exposure [Factor Research]Risk management overlays tend to reduce stock market returns However, they also can reduce drawdowns and increase Sharpe ratios Given that diversification has become more difficult, these are becoming more relevant INTRODUCTION It is tough to have high return expectations for stocks for the coming years. Stocks may go up in the short-term, but over the long-term, returns are primarily a function
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Are Financial Crises Predictable? [Alpha Architect]Who among us wouldnt want to be the savior that predicts a market crisis and saves our clients from losses in capital or even better profits from them? A central topic of interest for academics is whether there are more precise tools to predict financial crises. Those who believe so dedicate their efforts to finding early warning indicators. In this paper, the authors estimate the