This is a summary of links recently featured on Quantocracy as of Monday, 04/20/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mean-Variance Optimization in Practice: Reverse Optimization and Implied Expected Returns [Portfolio Optimizer]The fact that mean-variance optimizers are highly sensitive to changes in expected returns [] is well known in investment practice1, with a couple of practical solutions already described in this blog, for example using near efficient portfolios or subset resampling-based efficient portfolios. In this blog post, I will introduce another approach originally described in Sharpe2 and known as
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The Tranching Dilemma [Quantpedia]What if a meaningful part of a usual trading strategys performance has nothing to do with your signalbut simply when you rebalance? A recent paper written by Carlo Zarattini & Alberto Pagani highlights a largely underestimated risk in systematic investing: rebalance timing luck (RTL). For practitioners running rotation or factor strategies, this is not noiseits a structural source
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Sixty-four years of TLT: reconstructing the bond ETF everyone owns [Beyond Passive]A long-bond ETF sits in almost every balanced portfolio. Ours included TLT is one of the three core holdings in the risk-parity base of our portfolio architecture. And yet when TLT lost 48% between 2020 and 2024, most holders experienced it as a shock. It should not have been. The mechanics were entirely predictable from the yield level at which investors bought in, and the historical