This is a summary of links featured on Quantocracy on Friday, 06/05/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Fat Tails Everywhere? Profiling Extreme Returns: Part II [Capital Spectator]Its long been established that stock market returns arent normally distributed and that fat tails (extreme returns that are unexpected for a normal distribution) apply. This has implications, of course, for portfolio design and management. The first question: What are the choices for managing tail risk for equity exposures? There are many answers, each with a different set of pros and cons.
Excess Returns Podcast: Systematic Value Investing [Alpha Architect]Recently I was invited to talk with Justin and Jack on the Excess Returns Podcast. I thank them for the opportunity and enjoyed the conversation! Below are some of the topics we discussed: Struggles in value and its long-term potential going forward. What would it take to convince you that value investing doesnt work anymore? Impact of the shutdown on earnings and how to look at analyzing