Episode #125 of the Stack Overflow podcast is here. We talk Tilde Club and mechanical keyboards. Listen now
8

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 ...


5

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 ...


1

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 ...


1

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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