This is a summary of links featured on Quantocracy on Tuesday, 09/27/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Probabilistic Sharpe Ratio: Hypothesis Testing and Min Track Record Length [Portfolio Optimizer]In the first post of this series about the Sharpe ratio considered as a statistical estimator, I introduced a probabilistic framework to answer the question What is the probability that an estimated Sharpe ratio is statistically significantly greater than a reference Sharpe ratio? In this second post, I will present additional results, described in the paper Comparing Sharpe ratios: So where are
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How Much Can You Lose with Bonds? [Factor Research]Bonds are typically considered safe investments However, there were decades of negative real returns Drawdowns reached 50% for U.S. Treasuries and Bonds INTRODUCTION Inflation greater than 10% was unknown for the majority of people in developed markets before this year, but it is nothing particularly new for emerging market citizens. Russia experienced 15.5% in 2015, India 10.1% in 2013, Brazil