This is a summary of links featured on Quantocracy on Tuesday, 05/12/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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How To Get Historical S&P 500 Constituents Data For Free [Robot Wealth]In this post, we are going to construct snapshots of historic S&P 500 index constituents, from freely available data on the internet. Why? Well, one of the biggest challenges in looking for opportunities amongst a broad universe of stocks is choosing what stock universe to look at. One approach to dealing with this is to pick the stocks that are currently in the S&P 500 index.
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Skulls, Financial Turbulence and Risk Management [Alpha Architect]When hunting for diversity, the typical investor considers only average correlations. However, when measuring an assets diversification benefits utilizing average correlations tend to mislead investors. For example, when both U.S. and non-U.S. equities produce returns greater than one standard deviation above their means (ie when times are good), their correlation equals 17 percent; but when