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Approaches like FIFO and LIFO are most useful for tax accounting. If you don't have a tax accounting reason to do them, I'd recommend avoiding them, as they don't reflect actual realized gains (it's very rare for a position accounting system to move cash in and out of your account based on FIFO or LIFO). I'm going to discuss everything here in Gross of ...


I'll add my own experience here based on what we do at our firm, simply to provide more support for what Brian said in his answer. Fills that move a position further away from 0 contribute to the average price of the position. Fills that move a position closer to 0 "book profits" against the average price of the position to that point in time. Any fill ...


To summarize, you're attempting to create statistical 'sectors' in lieu of more standard equity classifications (eg, GICS, ICB)? It's something you can do, though to be frank, it's likely a fools-errand. For one, the robustness of your clusters is likely to be pretty weak even if you're thoughtful about the variable(s) you're clustering on and your ...


Thierry Roncalli adresses the issue of expected returns in risk parity in Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation. Maybe this preprint contains some useful ideas for you,

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