This is a summary of links featured on Quantocracy on Tuesday, 10/09/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Managing Equity Risk When Rates Rise [Flirting with Models]Last week was a good reminder that there is no ironclad law that rates and equities cant sell-off at the same time. Strategic diversification with bonds is akin to an uncertain insurance policy whose price and ultimate payoff in the event of a market crash is highly dependent on the level and path of interest rates. Diversifying your diversifiers with complementary risk management strategies
Test of Equality Between Two Densities [Eran Raviv]Are returns this year actually different than what can be expected from a typical year? Is the variance actually different than what can be expected from a typical year? Those are fairly light, easy to answer questions. We can use tests for equality of means or equality of variances. But how about the following question: is the profile\behavior of returns this year different than what can be
Fixed Income Factors: An Overlooked Corner of the Market [Alpha Architect]Factors, or style investing, seems to be all the rage these days, including the use of factors in fixed income (here, here and here are good places to start). However, many of these strategies focus on CUSIP level bond selection. This means executing a strategy with a fair amount of turnover in a bond market that can (at times) be illiquid and expensive to trade. Sadly, this means that