Here's my Financials tearsheet challenge entry. I will post the tearsheet next.
Alpha factor as THE alpha over SPY? Seems a little bit data mining to me. But thanks for sharing as always.
Financial sector is a tough one to work on.
@ Xiaochen Lin -
Presumably this is not a viable factor, since it is based mostly on common returns. However, I suspect that alpha over SPY is a measure of an individual stock to short-term mean revert to the market.
@Grant Kiehne -
I was wrong, as it is not the same period alpha over SPY. So it is a mean-reversion strategy. Interesting that this factor may work for REITs.
@ Xiaochen Lin -
Yes, I suspect that there are similarities between the financial and real estate sectors. You can see the rolling correlation between XLF & IYR here:
It's pretty interesting how much inertia there is in markets...the real estate bubble ramped up and ramped down over the last 20 years!
Here's an update. I'll post the tearsheet next.
I changed to:
regression = RollingLinearRegressionOfReturns(
target=symbol('SPY'),
returns_length=4,
regression_length=8,
mask=universe,
) and
alpha = normalize(-pipeline_output('regression_pipeline')['alpha']*pipeline_output('regression_pipeline')['correlation'].abs()).dropna()
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