https://almostintuitive.com/docs/quant/Recent content in (Quantitative) Finance / Investment on Mark Aron SzulyovszkyHugo -- gohugo.ioen-UShttps://almostintuitive.com/docs/quant/volatility-drag/Mon, 20 Jul 2020 00:00:00 +0000https://almostintuitive.com/docs/quant/volatility-drag/Volatility Drag If you lose 50% of your capital in one year, you’ll need to achieve a 100% return the next year, just to get even. This asymmetry is the cause of the “Volatility drag” - one unit loss will hurt your long-term gains more than one unit gain. This reason why you want to optimize your portfolio to avoid losses on your capital, rather for extraordinary gains. The volatility drag could potentially explain the low-volatility anomalyhttps://almostintuitive.com/docs/quant/alpha-vs-beta/Sun, 19 Apr 2020 00:00:00 +0000https://almostintuitive.com/docs/quant/alpha-vs-beta/Alpha vs beta Alpha Excess returns you gain over the market. Only available to you. Requires you to have an edge (information that’s not baked into the price already). Zero-sum game. If you gain, somebody loses. Short-lived. As soon as the market finds about your edge, it’ll arbitrage it away. As a retail (non-institunioal) investor, your alpha (edge) sources are limited. Anything well-known is probably arbitraged away already (if it can be), by the time the info reaches you.https://almostintuitive.com/docs/quant/the-reasons-against-discretionary-investing/Sun, 19 Apr 2020 00:00:00 +0000https://almostintuitive.com/docs/quant/the-reasons-against-discretionary-investing/The reasons against discretionary investing 0. A financial asset’s price represents its concensus of its future, not just its present. Eg. If you think Amazon will become more dominant in the future, and you have no insider information in your possession, you can bet that many others think the same, and using its past to extrapolate in to the future. Its potential is already priced in by hundreds of thousands of participants in the market.