Team:
Malyshkina Alena
Mysak Raisa
Nazdryuhin Egor
Tetyuk Denis
Algo Strategy for Investment Management BAE 2017'
Denis, спасибо что поделился с нами! Is this for a course you're taking or for your own research project?
I ran a tearsheet of the strategy (see below) and here are some high-level thoughts if you'd like to be considered for an allocation:
- The algorithm is long-only, and it's been positive because the market has been up since 2004. For an allocation the algo must be hedged with an explicit long and short book.
- The rolling beta is hovering around 1, meaning that your returns will follow the path of the market's.
- The algo is leveraged at 1.35x (I'm guessing this is an intentional decision based on the ordering logic on lines 83 and 93)
- TIP attributed to 9% of the returns over the backtest period, while the remainder was driven by SPY. As an exercise, it's worth considering if the cost of allocating capital to TIP in this algo is worth the opportunity cost of investing it elsewhere.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Alisa, Thank you a lot for paying attention. Yes, this pilot algo is just a part of the Course (Investment management). We were required to use long-only strategy, that's why we ignore any possibility to hedge systematic risks, for example to exlude market beta. Primarily, we saw our task to solve in two directitions. First and most obvious, via the pipeline filters we could derive securities with positive alpha, but we failed to figure out new idea without short positions (+ without borrowing other trader's ideas). Second, we could built market timing strategy (Some of the posts on quantopian has developed this idea successfully) using our own algo. We recognize the deep cons of our strategy and we appreciate your comments. And we continue to impove our skills regarding your recomendations.
1) We intentionally preserve rolling beta around 1, as we want to mimic a passive investor who usually holds index portfolio.
2) The leverage was chosen to maximize sharp and alpha for a long period, controlling for margin position (it doest fall lower than 73%) in order to avoid margin call.
3) We totally share your last comment.
It sounds like you're well on your way!
We're working with many universities worldwide and if you're interested in partnering, drop us a line: https://www.quantopian.com/academia
Disclaimer
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.