This is a summary of links featured on Quantocracy on Sunday, 05/13/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Position Sizing for Practitioners – Part 2: Dealing with Drawdown [Quant Fiction]What does optimal mean, anyway? In the first part of this series, we discovered that the staked fraction of capital that yields the greatest compounded returns also yields a less-than-optimal level of drawdown. To realize the greatest return on capital, an investor in SPY since its inception should have used over 3x leverage to buy in. This would have yielded the greatest compounded rate of
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Correlations and the market [Cuemacro]When I have a burger I feel better. I feel that there is some causation here, in particular because of Ive got lots of statistical data to justify this! However, in practice, if we look away from burgers and at finance, its a bit more difficult to answer the conundrum of causation versus correlation. If variables are correlated, does it imply causation? Its a topic which repeatedly comes