Portfolio Optimisation

Let’s just assume we have 2 signals (Trend and Carry). How do we combine these signals together? Generally there are two broad ways of doing it: 1. Combining positions of the individual signals 2. Regress future returns against the signals to get expected returns of each asset In this

Do we actually have to extract assets’ expected returns to harvest the benefits of factor model? Here we will talk about another approach where we can sum up our positions, and still integrate a factor risk model, without having to explicitly extract the expected returns of the underlying assets.

Never get into a committed relationship with assets’ covariance. They’re too unstable.

As the King of the quantymacro Land, I have passed an executive order of “No Signal Left Behind” effective immediately.

For all of you who are degenerates at constructing portfolios