# Tag Info

Accepted

### What are reasons not to do factor investing in equity markets?

This question goes to whether the historical returns to factors represent: Spurious results, overfitting, data mining... Mispricing Unexploitable effects Compensation for risk Case 1: Spurious ...
• 6,944
Accepted

### Calculating alpha and its meaning

Alphas from a time-series regression are error terms in the cross-sectional, linear relationship between expected returns and factor betas. If a factor model were correct those error terms (the alphas)...
• 6,944

### Choosing the right statistical test for Mutual Fund Performance Evaluation

Define excess return $r^x_{it} = r_{it} - r^f_{t}$ as the return $i$ minus the risk free rate, and $f_{jt}$ similarly denotes the excess return of factor $j$ at time $t$. Let's say we have some factor ...
• 6,944
Accepted

### cvxpy portfolio optimization with risk budgeting

The underlying problem: your ACTR constraints aren't convex The $i$th constraint on your risk contribution can be written: $$w_i \sum_j \sigma_{ij} w_j \leq c_i s$$ And this isn't a convex ...
• 6,944
Accepted

### What is the total correlation between assets in a portfolio?

This is indeed an interesting question. According to this website, a paper by Goldman Sachs [Tierens and Anadu (2004)] proposes three alternative methods for estimating average stock correlations: ...
• 27.4k

### Hedging Covid-19 and other low probability high loss risks

There's no easy answer to your question, as noob2 pointed out. You can look online for info from Universa. That fund does exactly what you are asking: https://www.universa.net/riskmitigation.html ...
Accepted

### Portfolio Risk Decomposition - different methodologies

Different portfolio risk decompositions answer different questions. Before discussing what method to use, first ask why you want a decomposition and what definition of risk are you using. Is the ...
• 6,944
Accepted

### Suppose that we are wrong about the relevant class of distributions for financial economics and econometrics. Now what?

I will be glad to help, but let me first advise you away from working on this topic until you have an academic position. This topic has been poison for me, but I am slogging on anyways. Before you ...
• 4,299
Accepted

### Why techniques for portfolio optimization do not take into account the non-fractionability of stock prices?

There are a few related reasons: The optimization becomes a lot harder when only discrete values are considered. Mean variance has a closed form solution for the continuous case but the case with ...
• 8,552

### Creating a Beta-Neutral Portfolio

There are more ways to approach this but the method I propose should work reasonably well in practice, especially if you increase the number of assets you hold. Calculate the beta of the stocks you'...
• 8,552

### What is the total correlation between assets in a portfolio?

I just want to add to vonjd's answer some info on the comparison of the 3 methods. This is too big for a comment so I'm posting as a separate answer but please upvote his answer, not mine. Do the ...
• 741

• 9,372
Accepted

### How to calculate the net return of each "partner" at different times?

Generally, managers take subscriptions and redemptions periodically, the frequency of which is defined in their offering documents. At the end of each period (daily, monthly, quarterly, etc), a NAV ...
• 4,338