This is a summary of links featured on Quantocracy on Friday, 07/28/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Square root of a portfolio covariance matrix [OS Quant]The square root of your portfolios covariance matrix gives you a powerful way of understanding where your portfolio variance is coming from. Here I show how to calculate the square root and provide an interactive example to explore how it works. Author Adrian Letchford Published 27 July 2023 Length 4 minutes Like what you see? Follow Adrian on Twitter to be notified of new content. Follow
-
Retail attention metrics: do they produce differences in returns? [Alpha Architect]Abstract: We find that by using a novel measure of investor attention, generated from InvestingChannels clickstream data on online financial news consumption, we can identify broad groups of stocks which are less efficiently priced and therefore where anomalies such as Value and Momentum are likely to produce greater cross-sectional differentiation in returns. We also apply these groupings to