This is a summary of links featured on Quantocracy on Wednesday, 07/10/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Capital Market Assumptions: Combining Forecasts for Improved Accuracy [Portfolio Optimizer]Capital market assumptions1 (CMAs) are forecasts of future risk/return characteristics for broad asset classes over the next 5 to 20 years produced by leading investment managers, consultants and advisors2. These forecasts are well-reasoned, analytically rigorous assumptions about uncertain future market movements2 and are used almost universally among institutional investors2, for example as
-
Unified Approach for Hedging Impermanent Loss of Liquidity Provision [Artur Sepp]Let me introduce our research paper co-authored with Alexander Lipton and Vladimir Lucic for hedging of impermanent loss of liquidity provision (LP) staked at Decentralised Exchanges (DEXes) which employ Uniswap V2 and V3 protocols. Uniswap V3 protocol allows liquidity providers to concentrate liquidity in specified ranges. As a result, the liquidity of the pool can be increased in certain ranges
-
Multi-Strategy Hedge Funds & Replication ETFs [Finominal]Despite stellar returns of some multi-strategy hedge funds, the category has not gained market share Multi-strategy hedge funds are highly correlated to equities, offering limited diversification benefits Replication ETFs offer the same unfavorable characteristics INTRODUCTION In 2022 multi-strategy hedge funds were hot. Citadel generated a return of 38.1%, DE Shaw 24.7%, and Millennium 12.4%,