This is a summary of links featured on Quantocracy on Saturday, 11/11/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
An Expenonetially Weighted Covariance Matrix in R [Robot Wealth]Exponential weighting schemes can help navigate the trade-off between responsiveness and stability of the inherently noisy estimates we make from market data. We previously saw examples of calculating the exponentially weighted moving average of a vector, and estimating the correlation between SPY and TLT using an exponential weighting scheme [link]. In this article, well implement an
Quant_rv performance over three decades [Babbage9010]In recent posts we added nATR as a vol measure, went short instead of flat, and significantly improved quant_rvs performance over our in-sample test period 2006-2019. Now we look at the more recent record including the Covid Swoon and Inflation Coaster, and the years prior from the Roaring 90s through the Dot Com Crash. Short take: this was not a strategy anyone would have chosen before the
The Performance of Major Private Equity/LBO Firms [Alpha Architect]Attracted by the glamour and potential for lottery-like returns, global private equity (PE) assets under management reached $4.2 trillion in 2022. PE involves pooling capital to invest in private companies by providing venture capital (VC) to startups or by taking over and restructuring mature firms via leveraged buyouts (LBOs). PE investors believe that the benefits outweigh the challenges not