Category: Book review

Introduction The portion of an asset’s return that is not explained by exposure to this benchmark is called alpha, and hence the signals that aim to produce such uncorrelated returns are also called alpha factor. Alpha factors in practice- from data to signals Alpha factors are transformations of raw data that aim to predict asset…

Introduction Machine learning (ML) involves algorithms that learn rules or patterns from data to achieve a goal such as minimizing a prediction error. The fundamental law of active management postulates that the key to generating alpha is having accurate return forecasts combined with the ability to act on these forecasts。 Information ratio(IR) : ratio of…