This is a summary of links featured on Quantocracy on Saturday, 08/04/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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What variance swaps tell us about risk premia [SR SV]Variance swaps are over-the-counter derivatives that exchange payments related to future realized price variance against fixed rates. Variance swaps help estimating term structures for variance risk premia, i.e. market premia for hedging against volatility risk based in the difference between market-priced variance and predicted variance. The swap rates conceptually produce more accurate estimates
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Mutual fund performance and survivorship bias [Mathematical Investor]As we have noted in previous Mathematical Investor blogs (see this blog for instance), surprisingly few mutual funds beat their respective benchmark (typically some market index). Even fewer consistently beat their benchmarks year after year. A new report from S&P Dow Jones sheds light on this phenomenon. It tabulates, for each year from 2001 through 2017, the percent of mutual funds in