This is a summary of links featured on Quantocracy on Friday, 05/03/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Dead Simple 2-Asset Portfolio that Crushes the S&P500 (Part 3) [Black Arbs]This is an update to the original blog series that explored a simple strategy of being long UPRO and TMF in equal weight, inverse volatility and inverse-inverse volatility. This strategy crushed the cumulative and risk-adjusted returns of the benchmark SPY etf. However through our research we determined that this strategy is heavily dependent on the correlation between the two assets. This