Tearsheet Analysis of a LS portfolio: Worth of Q fund?

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Tearsheet Analysis of a LS portfolio: Worth of Q fund?

posted Mar 20, 2016

Show Q Hedge Fund Portfolio Optimization Market Neutral

Hi All

I created a LS strategy which ranks stocks based on various factors. I have taken the portfolio construction recipe from Simon Thornington's Equity Long-Short.

Does it look like a strategy Q fund would be interested in?

I can eke out more alpha from the strategy by maximizing forecast but it comes with added volatility. I am still struggling with better portfolio construction methods(suggestions appreciated!!). This portfolio is invested in 200 names all the time (100- short, 100- long).

Let me know what you think.

Thanks
Shiv

1 response

This is from period 2007-01-01 to 2011-01-01. The results are not great here.

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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.