This is a summary of links featured on Quantocracy on Monday, 03/20/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Mathematics of Bonds: Simulating the Returns of Constant Maturity Government Bond ETFs [Portfolio Optimizer]With more than $1.2 trillion under management in the U.S. as of mid-July 20221, investors are more and more using bond ETFs as building blocks in their asset allocation. One issue with such instruments, though, is that their price history dates back to at best 20021, which is problematic in some applications like trading strategy backtesting or portfolio historical stress-testing. In this post,