This is a summary of links featured on Quantocracy on Thursday, 04/05/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Capital Efficiency Trumps Fees in the Search for Portfolio Diversifiers [Invest Resolve]Returns to the simplest domestic capitalization weighted indexes have dominated virtually all active strategies over the nine years since the Global Financial Crisis. Its not hard to understand why many investors have opted to eschew active strategies altogether, and instead have migrated en masse to the lowest cost index products. And for most investors, when considering traditional active
-
Tail Risk Hedging: An Alternative Approach to Risk Management [Alpha Architect]This article proposes tail risk hedging (TRH) as an alternative model for managing risk in investment portfolios. The standard risk management approach involves a significant allocation to hiqh-quality bonds. However, this approach has historically reduced expected returns over the long term (see article here and PDF available here). Accordingly, it could be sensible to pursue an alternative