Tags » Portfolio Management

The Marcos Lopez de Prado Hierarchical Risk Parity Algorithm

This post will be about replicating the Marcos Lopez de Prado algorithm from his paper building diversified portfolios that outperform out of sample. This algorithm is one that attempts to make a tradeoff between the classic mean-variance optimization algorithm that takes into account a covariance structure, but is unstable, and an inverse volatility algorithm that ignores covariance, but is more stable. 1,067 more words


Market Recap Friday, May 19

On Oil: Prices Jump to Three-Week High on Talk of Extending Production Cuts

Oil prices jumped to a three-week high on May 15. U.S. crude futures rose to $48.85 a barrel on the New York Mercantile Exchange and Brent rose to $51.82 a barrel on ICE Futures Europe. 822 more words

Portfolio Management

Stock Coverage 5.9.17 (post-close)

Bias has been decidedly bullish past few days as Nasdaq names continue to lead the way.  Coverage is trimming down nicely after earnings period, anything you see missing has been dropped to T3.  351 more words


Orion Advisor Tries To Eclipse The Competition With New Portfolio Rebalancer

In the early days of computer software, tools were sold separately… until Microsoft came along, and bundled its full suite of Office applications together. Now, Iskowitz notes that the same type of bundling is coming to wealth management software, particularly when it comes to the… 382 more words

Behavioral Finance, Financial Planning

Market Recap Friday, May 5th

China: Commodities Slump Weighs on Stocks, PMIs Losing Momentum

A slump in Chinese metals prices and weakness in crude oil sent equity markets across the region lower. 716 more words

Portfolio Management

Paying For A Filet, And Instead Getting Bologna

Most of you reading this are old enough to remember the Beech-Nut fake apple juice scandal in the 1980s.  (I’m not, but Jeff wrote the intro and he’s a couple years older than me…) 2,004 more words

Behavioral Finance, Financial Planning

In macroeconomic factor models active factor risk is caused by:

deviations of a portfolio’s factor sensitivities from the benchmark factor sensitivities.

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