This is a summary of links featured on Quantocracy on Tuesday, 09/06/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
-
How a Low VIX Can Remain an Expensive Hedge [EconomPic]One of my favorite Twitter follows @LadyFOHF shared the below scatter chart from Morgan Stanley that attempted to map areas of the global market that were both cheap (valuation ranks at the lower end of its 10-year history) and defensive (a low or negative correlation to global equities). One of the few trades listed as having both characteristics was the VIX Index. Let's take a look. The VIX
-
J.P. Morgan Outlook Implies Satellite Bonds Are King [Flirting with Models]It is common for large asset management firms to publish their capital market assumptions: long-term global asset expected return and covariance assumptions. Yet many firms do not draw the link between what published capital market assumptions say and what they mean when carried through the portfolio construction process. We find several interesting results when applying simple portfolio