Showing 1 - 10 of 11
We give an explicit algorithm and source code for extracting equity risk factors from dead (a.k.a. "flatlined" or "hockey-stick") alphas and using them to improve performance characteristics of good (tradable) alphas. In a nutshell, we use dead alphas to extract directions in the space of stock...
Persistent link: https://www.econbiz.de/10012933343
We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based on these risk factors by utilizing the heterotic risk...
Persistent link: https://www.econbiz.de/10013213003
Persistent link: https://www.econbiz.de/10012237599
Persistent link: https://www.econbiz.de/10012229128
Persistent link: https://www.econbiz.de/10011668127
Persistent link: https://www.econbiz.de/10011847616
Persistent link: https://www.econbiz.de/10011847702
Persistent link: https://www.econbiz.de/10013407268
We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is...
Persistent link: https://www.econbiz.de/10011299524
Persistent link: https://www.econbiz.de/10011413287