This is a summary of links featured on Quantocracy on Monday, 05/08/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Gerber Statistic: A Robust Co-Movement Measure for Correlation Matrix Estimation [Portfolio Optimizer]The Gerber statistic is a measure of co-movement similar in spirit to the Kendalls Tau coefficient that has been introduced in Gerber et al.1 to estimate correlation matrices within the Markowitzs mean-variance framework. In this post, after providing the necessary definitions, I will reproduce the empirical study of Gerber et al.1 which highlights the superiority of the Gerber correlation
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Finding Funds with Diversification Potential [Finominal]Downside betas do not help to identify diversifying strategies These need to be combined with upside betas Betas to the S&P 500 were more useful than betas to the VIX INTRODUCTION In our article Downside Betas vs Downside Correlations (read Downside Betas vs Downside Correlations) we contrasted the downside and upside betas of eight hedge fund types that are marketed as diversifying