Gulu's Substack
Quant For DummiesTrying to oversimplify Quant Finance
| Platform |  | Pricing | Only free issues | Publishes | Monthly |
|---|---|---|---|---|---|
| Issues | 12 | Founded | 2 years ago | Last Issue | 7 months ago |
| Active | |||||
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marcosgoulu.substack.comLatest Issues
On Building Factors: Arbitraging Risk–Return Profiles
When building factor returns, such as Momentum and Low Volatility, I see the same mistakes repeat, weighting quantiles as 50/50 with no account into its Risk profile but rather just looking at return differences. This is completey wrong....
Leveraged ETFs: The Mathematics and Practical Profitability of Volatility Decay
For this post we will use the following papers around the topic:
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Minder Cheng and Ananth Madhavan (2009/2010) - “The Dynamics of Leveraged and Inverse Exchange-Traded Funds”
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Avellaneda, M., & Zhang, S. (2010) - “Path-Dependence o...
Multi-Factor Hedging with Clustering Algorithms
In my earlier post, I discussed the performance of two-factor hedging using market and industry-level factors to calculate hedging errors. This analysis goes a step further, exploring whether clustering assets to find highly correlated stoc...
Clusters in Clusters - Generating portfolios for Statistical Arbitrage
Going back to my first post about statistical arbitrage, I mentioned—both directly and indirectly—that portfolio creation is the most crucial component in Stat Arb. While selling what goes up and buying what goes down is straightforward, fi...
Risk Parity Optimization, Modern Portfolio Management
In this analysis, we'll dive into Qian's (2005) work on risk parity optimization and discuss a couple of papers:
- "The Trend is Our Friend: Risk Parity, Momentum, and Trend Following in Global Asset Allocation" by Clare, Seaton, Smith,...
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