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Portfolio Page

October 5th, 2009 Leave a comment Go to comments

I’ve finally got the portfolio page up! On this page you’ll find all kinds of information regarding the quantitative strategy I’ve started investing in, in summer 2009.

To give you an idea of the kinds of things you’ll find there (over time – I’ve got a lot of work to do here!):

  • My to-do list: explore long-short rather than long only, think about a portable alpha structure with a beta overlay, explore leverage using options, look into sector-allocation and how that affects risk, …
  • Continue to dig into historical results: do the numbers make sense? Are there any biases? What could be missed?
  • Continue to dig into the model itself: do the factors make sense individually? Does the method of combination make sense? How are the factors and the model results affected by data availability?
  • Think about risk: what are the appropriate risk measures to consider? How can these risks be mitigated or controlled?

I’ll be updating the portfolio page monthly with realized returns, and will address some of the issues above over time. Every now and then I’ll post a “portfolio update” entry to keep you current on new information regarding the portfolio. If you have comments or questions, please let me know!

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