This is a summary of links featured on Quantocracy on Wednesday, 11/01/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Index Tracking: Reproducing the Performance of a Financial Market Index (and more) [Portfolio Optimizer]An index tracking portfolio1 is a portfolio designed to track as closely2 as possible a financial market index when its exact replication3 is either impractical or impossible due to various reasons4 (transaction costs, liquidity issues, licensing requirements). In this blog post, after reviewing the underlying mathematics described in Hallerbach5, I will review a couple of applications of index
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Higher Volatility, Higher Alpha? [Finominal]Intuitively fund managers should create more alpha when volatility is higher However, neither mutual nor hedge fund managers have been able to do so Likely explained by fund managers being less rational than assumed INTRODUCTION However, a period of higher volatility is a good environment for alpha generation and provides opportunities. Robert Prince, CIO Bridgewater Associates,