Formulaic Alpha Report

A few days back, we finished our introduction to concepts in linear algebra for Euclidean spaces. Moving on…we go to portfolio management.

Diagonalization and Linear Transformations - A First Course in Linear Algebra (III) - a complete first course in linear algebraic methods.

Over the next coming months, we will introduce discussion and implementation of shrinkage methods in Python. We then introduce some benchmarks, which will consist precisely of the formulaic alphas from the HangukQuant posts. We will then use this benchmark for horse races between different quantitative approaches to signal weighting in multi-strategy portfolios. On the theoretical notes, we hope to extend treatments in stochastic calculus, portfolio methods and numerical optimization algorithms.

In this post, we release our formulaic alpha report.

Preview:

Alpha Report: