This is a summary of links featured on Quantocracy on Saturday, 08/18/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Equity index futures returns: lessons of 2000-2018 [SR SV]The average annualized return of local-currency index futures for 25 international markets has been 6% with a standard deviation of just under 20%. All markets recorded much fatter tails of returns than should be expected for normal distributions. Autocorrelation has predominantly been positive in the 2000s but decayed in the 2010s consistent with declining returns on trend following. Correlation