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seen Oct 6 at 19:53

Mar
8
comment Calculating Momentum From Returns
Ok see above for the new modification. The price series, is just a equity series through cumprod.
Mar
8
revised Calculating Momentum From Returns
Added Series
Mar
8
comment Calculating Momentum From Returns
I am just trying to measure asset class momentum. Would I then just add them?
Mar
8
asked Calculating Momentum From Returns
Jan
26
comment Why do low standard deviation stocks tend to have superior future returns?
The piece simply aims to use an alternate measure of volatility (beta) and check for the robustness of the low volatility anomaly. It universe encompasses small cap, mid cap, large cap. The results are summarized in the table whereby each top 50 stock’s performance are compared with the bottom 50’s performance. Results confirm the anomaly.
Jan
25
answered Why do low standard deviation stocks tend to have superior future returns?
Jan
4
revised How to cluster ETFs to reduce cardinality for portfolio selection
added 211 characters in body
Dec
30
revised Determining portfolio risk return in R given historical data for individual holdings?
Code
Dec
29
comment Determining portfolio risk return in R given historical data for individual holdings?
I am assuming you are defining risk in traditional metrics. Given weights and historical data, wouldn't a simple weighted return of each asset give the return series of the portfolio? From there wouldn't you just go about calculating the standard deviation and annualized return of the portfolio return series? In R, you just use "sd(return.series)" to get risk. and return just use PerformanceAnalytics functions to get return
Dec
29
accepted How to define the objective function for a custom optimization problem?
Dec
28
answered Determining portfolio risk return in R given historical data for individual holdings?
Dec
26
answered Hidden Markov Model & Its Application
Dec
19
awarded  Teacher
Dec
19
comment How to cluster ETFs to reduce cardinality for portfolio selection
Im actually doing the exact same thing but with a smaller universe of asset. Mine is for performance tracking purposes.
Dec
19
answered How to cluster ETFs to reduce cardinality for portfolio selection
Dec
18
awarded  Yearling
Dec
14
accepted How can I select the least correlated portfolio of assets?
Dec
14
accepted System Development / Optimization
Dec
14
comment Cloning Return Streams
In all honesty, all funds that try to generate absolute return get ideas from everyone else, its just that they sugar coat it with different adjectives so it seems they are doing something completely different. I guess none should, by your definition, invest in any hedge funds...
Dec
14
comment Cloning Return Streams
Your point on Hedge fund return being dismal, I totally agree. But this actually means there are more research to be done to understand such under performance which may help to navigate better from a portfolio allocation point of view.