Portfolio Construction and Optimization

This is a talk I gave for the Toronto R users group on using various R packages for portfolio construction and optimization with the accompanying source code. So readers can see some of this tech applied to a real product I have included some unofficial (after fee) performance numbers for the Stance Equity product at […]

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Case Study: Leveraging Risk Efficient Portfolios for enhanced returns

Academics have been shouting from the rooftops about risk-efficient portfolios (minimum variance, minimum correlation, minimum expected shortfall etc) and their merits, for some time now. This has led to a suite of indices from EDHEC-Risk, many minimum variance funds, ETFs, risk parity products and the like. The goal of the experiment here is to see […]

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Post Preview: The Overnight Returns of the S&P500 vs Day Returns

Quick preview I will be expanding on this in the days to come.

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