This is a summary of links featured on Quantocracy on Sunday, 03/21/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Conditional Volatility Targeting [Alpha Architect]Financial economists have long known that volatility and returns are negatively correlated. Fischer Black documented this in his 1976 paper Studies of Stock Price Volatility Changes. This relationship results in the tendency to produce negative equity returns in times of high volatility. In addition, the research, including the 2017 study Tail Risk Mitigation with Managed Volatility
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Research Review | 19 March 2021 | Forecasting [Capital Spectator]Predictable Financial Crises Robin Greenwood (Harvard University), et al. March 2021 Using historical data on post-war financial crises around the world, we show that crises are substantially predictable. The combination of rapid credit and asset price growth over the prior three years, whether in the nonfinancial business or the household sector, is associated with about a 40% probability of