This is a summary of links featured on Quantocracy on Thursday, 04/25/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Cluster Risk Parity: Equalizing Risk Contributions Between and Within Asset Classes [Portfolio Optimizer]The equal risk contribution (ERC) portfolio, introduced in Maillard et al.1, is a portfolio aiming to equalize the risk contributions from [its] different components1. Empirically, the ERC portfolio has been found to be a middle-ground alternative1 to an equally weighted portfolio and a minimum variance portfolio, balanced in risk and in weights1, which exhibits interesting performances in terms
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A Simple Trick for Dealing with Overlapping Data [Robot Wealth]Last week, we looked at simple data analysis techniques to test for persistence. But we only looked at a feature that is measured over a single day the absolute range. Such a feature makes it easy to test persistence because you dont have the problem of overlapping data. Each data point is entirely self-contained and shares no information with the previous data point. Compare this with a
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Portable alpha for all: Return stacked strategies for diversification without sacrifice [Invest Resolve]Diversification is the cornerstone of investing. This principle, fundamentally understood as not concentrating all resources into a single investment, inherently seeks to minimise risk while potentially smoothing out returns over the long term. By spreading investments across uncorrelated assets, investors may more reliably cushion against sector-specific downturns and geopolitical risks.