This is a summary of links featured on Quantocracy on Saturday, 09/15/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Predicting equity volatility with return dispersion [SR SV]quity return dispersion is measured as the standard deviation of returns across different stocks or portfolios. Unlike volatility it can be measured even for a single relevant period and, thus, can record changing market conditions fast. Academic literature has shown a clear positive relation between return dispersion, volatility and economic conditions. New empirical research suggests that return
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How Leverage Constraints Effect Mutual Fund Risk Taking [Alpha Architect]The 2014 study by Andrea Frazzini and Lasse Heje Pedersen, Betting Against Beta, found strong support for low-beta strategies. Ive previously written on low-beta strategies here. This paper finds that, for U.S. stocks, the betting against beta (BAB) factor (a portfolio that holds low-beta assets, leveraged to a beta of 1, and that shorts high-beta assets, de-leveraged to a beta of 1)
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Video: Alpha Architect Weekly Research Recap [Alpha Architect]You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we examine a summary by Larry Swedroe that highlights the Betting Against Beta (BAB) factor and dives into two new papers examining when the BAB factor performs well. Second, we discuss a paper titled The Conservative Formula: Quantitative Investing Made Easy