This is a summary of links featured on Quantocracy on Monday, 03/19/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
You Are Not a Monte-Carlo Simulation [Flirting with Models]Even when an investment has a positive expected average growth rate, the experience of most individuals may be catastrophic. By focusing on the compound average growth rate, we can see the median realizations which account for risk are often more crucial decision points than ensemble averages, which are the focal point of Monte Carlo analysis. These arguments also provide a simple
Factor Portfolios: Turnover Analysis [Factor Research]Some ETF investors claim that passive index products are superior to actively managed funds due to lower turnover and therefore less transaction costs. While this is partially true, most investors are unlikely to be familiar that indices such as the S&P 500 have a relatively high amount of turnover. The average tenure in the S&P 500 has decreased from 33 years in 1964 to 24 years in 2016,
When Bullish Opex Weeks Fail To Play Out [Quantifiable Edges]I discussed last weekend that monthly option expiration (opex) week is typically a bullish week, especially during the months of March, April, October, and December. Obviously, the bullish tendency did not play out this past week. So does this mean the bullish tendency may be delayed a week? Or is the market not doing what it is supposed to a sign that it is likely to continue lower? Or