This is a summary of links featured on Quantocracy on Monday, 12/10/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
The Risk in the Risk-Free Rate [Flirting with Models]The risk-free rate is an important concept in financial theory, but the risk-free rate accessible to most investors can vary significantly in level. The variation in risk-free rate not only has an important impact on the theoretically optimal portfolio, but it can have a very real impact upon portfolio returns. We demonstrate that recent generational lows in short-term Treasuries had made this
Factor Optimisation [Factor Research]Equity factors exhibit sector biases and exposures to other common factors A factor optimisation process allows investors to create pure factors Risk-adjusted returns do not increase, but pure factors are attractive from analytical, risk and allocation perspectives INTRODUCTION When large quantities of organisms like zooplankton and algae are buried underneath sedimentary rock and subjected to
Commodity carry [SR SV]Across assets, carry is defined as return for unchanged prices and is calculated based on the difference between spot and futures prices (view post here). Unlike other markets, commodity futures curves are segmented by obstacles to intertemporal arbitrage. The costlier the storage, the greater is the segmentation and the variability of carry. The segmented commodity curve is shaped prominently by