Quantocracy’s Daily Wrap for 02/01/2023

I run some experiments on the impact of covariance matrix construction on portfolio stability. In particular, the following ways to generate a covariance matrix will be attempted: Sample covariance the most basic approach to construct a simple covariance matrix based on historical return data Shrinkage of covariance matrix additional shrinkage applied to all off-diagonal elements of the

The theme of rebalancing in longer-term investing is neglected but important as it influences the overall portfolios performance and risk. Unfortunately, many investors are inconsistent in choosing dates for their rebalances of portfolios, resulting in hardly predictable results (whether positively or negatively affecting it), and not contributing to handling risk management properly. The

This is the second post in a series I'm doing about whether I can trade faster strategies than I currently do, without being destroyed by high trading costs. The series is motivated in the first post, here. In this post, I see if it's possible to 'smuggle in' high cost trading strategies, due to the many layers of position sizing, buffering and optimisation that sit between the