This is a summary of links featured on Quantocracy on Wednesday, 10/03/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Asset Allocation Roundup [Allocate Smartly]Recent asset allocation articles (tactical or otherwise) that you might have missed: Market Timing the Credit Cycle (EconomPic) Jake looks at forward returns based on the width and direction of the credit quality spread (high yield minus investment grade OAS). Below weve reproduce Jakes results and added an equity curve showing SPY returns in the month following bullish conditions in
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Erratic correlation: an illustration through Chord diagrams [Quant Dare]Lets start with a simple question: what is the first thing to think about when you create a portfolio? Im sure several ideas spring to mind, but lets go to the heart of the matter: what is the relationship between the assets in a portfolio? That is one of the greatest managers concerns. They want to be sure that if some assets fall, the others could make up for losses. That is, baskets