In this short video, Max Margenot gives an overview of alpha and beta in finance. Max gives an intuitive description of market beta and the calculation of alpha and how they interact with finance and in algorithms on Quantopian.
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Since Alpha is unknown, it is found by using Beta to strip away returns attributed to the market and can be based on a lot of things such as common factor risk, quantopian model risk, etc. Does this imply also that because we can quantify and isolate different market returns via Beta, we are also isolating the risk associated with those returns as well?
@Viridian Hawk @Blue Seahawk Can one of you explain how the &= operator is used in the algorithm code? Are you using it to do a set calculation to make m a big screen?
In &=, the & can be thought of as 'and'. Adding to the mask.. m &= something ... says to further restrict the mask progressively as pipeline is processed.
So the mask (m here) collection of stocks becomes progressively smaller and smaller for each operation on them.
I have the impression that route is important to avoid allowing operations to be accidentally chewing on larger sets than intended, which can then make for nans in the inputs to factors or gaps in zscore, rank, percentile_between, top, etc. So I always use mask=m with those, even if it isn't strictly necessary at the moment, because in future edits it could play a role.
Also then, any m &= something ... line one is using can be commented out in a comparison test to see what effect that has.
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.
