I've talked at some length before about the question of fitting forecast weights, the weights you use to allocate risk amongst different signals used to trade a particular instrument. Generally I've concluded that there isn't much point wasting time on this, for example consider my previous post on the subject here.| This Blog is Systematic
I recently upgraded my live production system to include all the extra instruments I've added on recently. I also did a little consolidation of trading rules, simplifying things slightly by removing some rules that didn't really have much allocation, and adding a couple from my new book. As usual I set the instrument weights and forecast weights using my handcrafting methodology, which is basically a top down method that involves clustering things into groups in a hierarchical fasion.| This Blog is Systematic
As those of you who follow me on the Elon Musk Daily News App will know, I received physical copies of my new book last week (exciting!). Global supply chains being what they are, you lot will have to wait until April to get your copies. Sorry.| This Blog is Systematic
Lots of things have changed in the last year. Many unthinkable things are now thinkable. A war in Europe. The UK coming 2nd in the Eurovision song contest rather than the usual dismal 'null points'. And of course, the correlation of stocks and bonds has recently gone more positive than it has been for over 20 years:| This Blog is Systematic
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 hi...| qoppac.blogspot.com
I wanted to do a long-overdue follow-up on a blog I wrote in 2019, ISDA SIMM FX Optimization and NDFs. That blog outlined the growth of G10 NDFs in response to the initial phases of UMR go-live from 2016 onwards, hypothesizing that multilateral FX IM optimization was driving the trend. (Note that another term was […]| Clarus Financial Technology
We compared risk-efficient portfolios with cap-weighted and equal-weighted portfolios of liquid large-cap stocks from 1960 through 2019. We also take steps to limit turnover and tax consequences by trading overlapping monthly portfolios with annual holding periods. The post Portfolio Optimization for Efficient Stock Portfolios: Applications and Directions appeared first on ReSolve Asset Management.| ReSolve Asset Management
Measuring CRE portfolio success has gotten a lot more complicated. Start tracking these 7 corporate real estate metrics to get ahead.| Hubstar