Is the trend in the example I cloned due to the factors chosen or how is the portfolio constructed?

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Is the trend in the example I cloned due to the factors chosen or how is the portfolio constructed?

Ezio Von Falcen

posted Jun 30, 2019

Hi all of you, I'm new and I was looking at the examples of the lessons (which I haven't studied yet). Playing with the example "Long-Short Equity with the Optimize API 4" to familiarize myself with the platform I noticed that the results in the considered period are quite negative. I did several tests with various combinations for the most known factors and they all have more or less the same trend. Is this simply due to poor performance in the given period or to the way the allocation in the example is constructed? Do you know any reference values for the performance of various factors (value type and momentum) analyzed with long-short portfolios?

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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.