From rank-and-chop to factor model with reduced turnover, resources?

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From rank-and-chop to factor model with reduced turnover, resources?

Simon Thornington

posted

Hi all,

Anyone have any good links on going from a basic academic rank-and-chop screening algorithm to a more refined portfolio optimization/factor model with reduced turnover and multiple shades of tilting?

Thanks,

Simon.

2 responses

Michael Van Kleeck

This paper isn't a great match to what you described, but perhaps its use of clustering on multiple factors could be relevant: A Multi-Factor Adaptive Statistical Arbitrage Model.

Simon Thornington

Thanks, maybe I need to read Meucci's or Andrew Ang's book after all. So much to read!

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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.