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long only, choose 6 among the major 12 stocks, rebalance every 1month, with the target annualized volatility of 0.10, since 2006, with sharpe 0.93

long only, choose 6 among the major 12 stocks, rebalance every 1month, with the target annualized volatility of 0.10, since 2006, with sharpe 0.93

2 responses

In case of increased market volatility, you are significantly more exposed due beta of your stocks.
Approach to reduce such is implementing covariance matrix and cap volatility on portfolio level.

The same ingredients, the same parameters, just my own way implementation.