This is a summary of links featured on Quantocracy on Tuesday, 06/04/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Combating Volatility Laundering: Unsmoothing Artificially Smoothed Returns [Portfolio Optimizer]It is common knowledge that returns to hedge funds and other alternative investments [like private equity or real estate] are often highly serially correlated1. This results in apparently smooth returns that have artificially lower volatilities and covariations with other asset classes2, which in turn bias [portfolio] allocations toward the smoothed asset classes2. In this blog post, I will detail
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Active vs. Passive Life Cycle Savings Strategies [Quantpedia]The main goal of our new article is to explore the efficacy of passive versus active management strategies in the context of savings for long-term financial goals. By analyzing the performance of nine distinct asset classes, including Double Leveraged ETFs and an implementation of the Pragmatic Asset Allocation (PAA) strategy, over an almost-century-long horizon, we simulate and compare the
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Measuring Performance Chasing [Finominal]Performance chasing can be measured via extreme excess returns Abnormal negative returns lead to subsequent outperformance While abnormal positive returns lead to subsequent underperformance INTRODUCTION Morningstar recently published a list highlighting the top 10 fund management companies that destroyed the most wealth in the decade ending in 2023, which includes boutique firms like Roundhill