This is a summary of links featured on Quantocracy on Thursday, 07/05/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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To be or not to be (correlated) [Quant Dare]There are many problems that a data scientist encounters when fighting financial data for the first time: nothing is normally distributed, most problems are tough (low signal to noise ratio) and non-stationary high-dimensional time series are ubiquitous. In Quantdare we have spoken many times about one of the main sources of non-stationarity in financial time series: volatility. It is very
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The Impact of Volatility Targeting on Equities, Bonds, Commodities and Currencies [Quantpedia]Recent studies show that volatility-managed equity portfolios realize higher Sharpe ratios than portfolios with a constant notional exposure. We show that this result only holds for risk assets, such as equity and credit, and link this to the so-called leverage effect for those assets. In contrast, for bonds, currencies, and commodities the impact of volatility targeting on the Sharpe ratio