Hot answers tagged pca
The paper alternatives between using eigenportfolios and sector/industry ETFs for statistical arbitrage. For instance, sections 2.1-2 vs. 2.3. The trade in Section 4.1 is long some stock and short an appropriate amount of sector/industry ETFs. That being said Sections 5.3 and 5.4 discuss PCA strategies in a backtest, with relatively little additional ...
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