This is a summary of links featured on Quantocracy on Monday, 06/21/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Portfolio Optimization: Replicate a corporate bond index via Mixed-Integer Programming [DileQuante]While portfolio optimization is well known in the Equity space, in the Fixed Income industry, the subject is less discussed although it has very specific needs and it can be more complex compared to its Equity counterparts. One key difference between the two of them is the trading lot size. In Equities, most of the time, you can generate a portfolio composition directly with weights (continous
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Avoiding Disasters with Catastrophe Bonds? [Factor Research]Catastrophe bonds offered exceptionally high risk-adjusted returns since 2005 These were uncorrelated to equities, making cat bonds attractive for diversification However, cat bonds might have underpriced risk historically, raising concerns going forward INTRODUCTION The global pandemic continues to be a catastrophe for our civilization. Compounding its effect: Few were insured against it. Sure,
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Factors Timing is a Difficult Practice [Alpha Architect]Last week Tommi looked into whether hedge funds could time factors. The conclusion? Probably. This week we're going to see if Mutual Fund managers have any skill at cracking the factor timing code. The conclusion? They aren't great factor timers! The authors of the paper study a large sample of US equity mutual funds from late 2000 through 2016 and ask the following research question: Do