Quant Mashup - Predictive Alpha
FX: multivariate stochastic volatility - part 2 [Predictive Alpha]
In part 2 our mean-variance optimal FX portfolio is allowed to choose from multiple models each week based on a measure of goodness (MSSE). The risk-adjusted return improves as a result with the annualized Sharpe Ratio rising to 0.86 from 0.49. In part 1 we estimated a sequential multivariate
- 8 years ago, 23 Mar 2016, 10:23am -
FX: multivariate stochastic volatility – part 1 [Predictive Alpha]
We apply a (sequential) multivariate stochastic volatility model to five FX pairs. Using non-optimized settings our model beats a benchmark portfolio – both from a total return and risk-adjusted point of view. Following an equity-centric start to our blog’s life with random portfolios (part 1
- 8 years ago, 15 Mar 2016, 12:59pm -
Trading strategies: No need for the holy grail [Predictive Alpha]
We demonstrate that weak trading signals, which do not offer high risk-adjusted returns on their own, can be combined into a powerful portfolio. In other words, no need for holy grails when researching signals. We start our experiment with some key assumptions. We have 20 signals with annualized log
- 8 years ago, 16 Feb 2016, 01:29pm -
Random portfolios: correlation clustering [Predictive Alpha]
We investigate whether two clustering techniques, k-means clustering and hierarchical clustering, can improve the risk-adjusted return of a random equity portfolio. We find that both techniques yield significantly higher Sharpe ratios compared to random portfolio with hierarchical clustering coming
- 8 years ago, 26 Jan 2016, 10:26am -
Bootstrapping avoids seductive backtest results [Predictive Alpha]
Nothing gets the adrenaline rushing as strong backtesting results of your latest equity trading idea. Often, however, it is a mirage created by a subset of equities, which have performed particularly well or poorly thereby inflating the results beyond what seems reasonable to expect going forward.
- 8 years ago, 20 Jan 2016, 12:21pm -
Factor-based equity investing: is the magic gone? [Predictive Alpha]
Factor-based equity investing has shown remarkable results against passive buy-and-hold strategies. However, our research shows that the magic may have diminished over the years. Equity factor models are used by many successful hedge funds and asset management firms. Their ability to create rather
- 8 years ago, 11 Jan 2016, 11:40am -
Towards a better equity benchmark: random portfolios [Predictive Alpha]
Random portfolios deliver alpha relative to a buy-and-hold position in the S&P 500 index – even after allowing for trading costs. Random portfolios will serve as our benchmark for our future quantitative equity models. The evaluation of quantitative equity portfolios typically involves a
- 8 years ago, 30 Dec 2015, 09:51am -