This is a summary of links featured on Quantocracy on Monday, 02/27/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Performance attribution of a crypto market-neutral book on a statistical risk model [Gautier Marti]In this short blog post, we investigate whether a simple systematic market-neutral stat arb crypto book loads on the main components of a statistical risk model. from datetime import timedelta import pandas as pd from tqdm import tqdm import statsmodels.formula.api as smf def compute_pnl_attribution( symbol, date, weights, returns, factor_returns, info, fexp_cols, ): if symbol not in
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ETF Crusades [Finominal]This research note is a guest post from Rodolfo Martell, PhD, Head of Portfolio Strategy, of Pluribus Labs LLC, a San Francisco-based systematic active equity manager that is part of Exos Financial. SUMMARY Religious-themed ETFs have increased their AUM to roughly $1 billion 3 / 4 products outperformed their benchmarks since 2020 The outperformance can be attributed to their factor exposures