This is a summary of links featured on Quantocracy on Sunday, 04/02/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Improving Hedged Equity With a Short-Dated Ladder [Simplify]A costless collar, sometimes referred to as a hedged equity or defined outcome strategy, is a risk management strategy that combines holding a long position in a stock or index with buying a put spread defined by a specific set of strikes (e.g. 5% OTM long put, 20% OTM short put). This provides downside protection for the long stock position if the stock falls within the put spreads option
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Is a Naive 1/N Diversification Strategy Efficient? [Alpha Architect]Investment strategy should be based on three fundamental principles. First, markets are highly, though not perfectly, efficient. That leads to the conclusion that active management is the losers game. Second, if markets are efficient, it must follow that you should believe that all unique sources of risk have similar risk-adjusted returns. Third, if all individual sources of risk have similar