This is a summary of links featured on Quantocracy on Thursday, 07/20/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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A different measure of volatility for quant_rv [Babbage9010]Everybody knows what volatility is. But theres more than one way to measure it. The last couple of posts Ive been trying to document a little more about the plain vanilla standard way to measure vol in the context of my efforts toward finding an ETF switching strategy to use realized volatility as the primary signal, especially looking at being out of the market during higher volatility
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Fund Concentration: Does it impact return? [Alpha Architect]This study explores the degree to which fund concentration as measured by high tracking error or active share, affects the magnitude of excess returns and whether or not the likelihood of outperformance or underperformance are distributed similarly. Three methods of analysis were used to examine the relationship between dispersion of fund excess returns and the degree of portfolio concentration