This is a summary of links featured on Quantocracy on Friday, 06/18/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Can astrology predict financial markets? (Of course not) [Mathematical Investor]In a previous MathInvestor article, we mentioned how absurd it would be if someone offered predictions of stock or bond prices or cryptocurrency rates based on astrological signs. Consider for a moment that financial market prices are based on a confluence of many thousands of factors worldwide, including developments in science and technology, changes in consumer sentiment and preferences,
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The Performance of Volatility-Managed Portfolios [Alpha Architect]As far back as 1976, with the publication of Fischer Blacks Studies of Stock Price Volatility Changes financial economists have known that volatility and returns are negatively correlated. This relationship results in the tendency to produce negative equity returns in times of high volatility. In addition, the research, including the 2017 study Tail Risk Mitigation with Managed