This is a summary of links featured on Quantocracy on Monday, 07/12/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Unconventional Guide To The Best Websites For Quants [Quant Insti]Generally, a quant is a professional in the financial technology industry who designs complex algorithms with the help of quantitative analysis. Quants are skilled in mathematics, finance and computer skills – a blend which is rare. In the trading domain, quants design and implement the algorithms to predict the price. To find the information that has quality is most important here because it is
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Building a Long Volatility Strategy without Using Options [Factor Research]Long volatility strategies can be built without using options Our systematic approach has used exclusively currencies and bonds Investors can achieve attractive diversification benefits with such strategies INTRODUCTION The insurance policy is one of the game-changing products of our civilization as the individual is protected against great financial harm by the rest of society. Everyone
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Diversified reward-risk parity [SR SV]Risk parity is a portfolio construction technique that seeks to equalize risk contributions from the different components of the portfolio. Risk parity with respect to uncorrelated risk sources maximizes diversification. Simple risk parity rules are based on the inverses of market beta, price standard deviation, or price variance. These methods can be combined with common reward risk metrics, such
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Maximize ESG exposure or screen out sin stocks? [Alpha Architect]In a 2020 paper, the authors explore the side effects of applying ESG screens to a passive portfolio. While the ESG scores or tilt was improved and Sharpe ratios increased, significant regional, sector, and conventional risk factor exposures were magnified. While investors may be attracted and willing to adopt ESG strategies, they may be unwilling to accept exposures to these additional sources of