This is a summary of links featured on Quantocracy on Wednesday, 11/08/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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800 Years of Risk-Free Rate [Quantpedia]This paper presents a new dataset for the annual risk-free rate in both nominal and real terms going back to the 13th century. On this basis, we establish for the first time a long-term comparative investigation of bond bull markets. It is shown that the global risk-free rate in July 2016 reached its lowest nominal level ever recorded. The current bond bull market in US Treasuries which
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Risk Parity in Python [Quant Dare]Once we are familiar with the theory surrounding Risk Parity, its time to put the strategy into practice and try out the algorithm for ourselves. We discover how it works, analyse the strategy and create our own portfolios. Thanks to the posts written by T.Fuertes and mplanaslasa we already know what the Risk Parity strategy is, its formulation and even how it differs from the Inverse
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State of Trend Following in October [Au Tra Sy]Last month saw a strong upwards performance from the State of Trend Following index, single-handedly reversing half the negative performance for the year, which still stands close to double-digit territory. Please check below for more details. Detailed Results The figures for the month are: October return: 8.72% YTD return: -8.02% Below is the chart displaying individual system results throughout