Tag Archives: alpha

Video on forecasting with Holt Winters with time series analysis by using ACF, SSE, alpha, beta, gamma, Ljung-Box, detrending decomposing

Video on forecasting with Holt Winters with time series analysis by using ACF, SSE, alpha, beta, gamma, Ljung-Box, detrending decomposing

This video is for my Premium Membership which includes:

I put together a complete check list from a good source URL which is listed at the top of the source file.  This use Holt Winter forecasting. It includes checking for

decomposing or detrending seasonal data in time series

using Exponential Smoothing

plotting forecasts and using autocorrelation function (acf)

using Summary of Statistical Error (SSE), Ljung-Box test, residuals, alpha, beta, and gamma

plot distribution of forecasts

There is also an R script for this as well.

Get access now to this video and the R script. If you are new to all this including ARIMA and Holt Winter, this is a decent way to learn.

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Can you find neglected alpha in nontraditional hedge fund alternatives?

Can you find neglected alpha in nontraditional hedge fund alternatives?

In Part 2 of Opalesque.TV’s interview with PineBridge Investments Head of Hedge Fund Solutions Bob Discolo, Bob describes his views on accessing neglected alpha in non-traditional hedge fund markets like Brazil, South Africa, Australia, China, other parts of Asia, and finding opportunity where you wouldn’t think to look.

To know more about Bob Discolo’s views on accessing neglected alpha in non-traditional hedge fund markets watch this video: http://www.opalesque.tv/hedge-fund-videos/robert-discolo-part2/1

 

According to Bob, there are not that many managers in these smaller markets and they are not that big, engaged investors are attracted to these skilled managers operating often in areas “completely different than what we are seeing in the (United) States”.

To get more information about Bob Discolo watch this video: http://www.opalesque.tv/hedge-fund-videos/robert-discolo-part2/1

 

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Eleuthera Capital: How to systematically extract Alpha from FX Markets beyond long term trending or carry models

Eleuthera Capital: How to systematically extract Alpha from FX Markets beyond long term trending or carry models

Philippe Bonnefoy is co-founder of Eleuthera Capital. Philippe Bonnefoy has been managing money globally for over 25 years across multiple asset classes and trading strategies. Eleuthera Capital runs the Eleuthera Currency Fund, a short-term fully automated trading strategy that primarily trades spot cash currencies of selected OECD countries.
With US $4 trillion per day, the currency market is the most liquid market in the world, yet investors typically have minimal allocation to currency trading. Daily FX volume is approximately 4.9x the daily turnover of the US bond market and 32x the daily turnover of the New York Stock Exchange.
To know more about Eleuthera Capital watch this video: http://www.opalesque.tv/hedge-fund-videos/Philippe_Bonnefoy/1==Eleuthera’s models typically generate high returns in periods of high volatility. The majority of trading is conducted intra-day in the currency (and bullion) spot markets; however, it is not a “high frequency” trading system.
To get more information on Eleuthera Capital please watch this video: http://www.opalesque.tv/hedge-fund-videos/Philippe_Bonnefoy/1

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Eleuthera Capital: How to systematically extract Alpha from FX Markets beyond long term trending or carry quant analytical models

Eleuthera Capital: How to systematically extract Alpha from FX Markets beyond long term trending or carry quant analytical models

Philippe Bonnefoy is co-founder of Eleuthera Capital. Philippe Bonnefoy has been managing money globally for over 25 years across multiple asset classes and trading strategies. Eleuthera Capital runs the Eleuthera Currency Fund, a short-term fully automated trading strategy that primarily trades spot cash currencies of selected OECD countries.

With US $4 trillion per day, the currency market is the most liquid market in the world, yet investors typically have minimal allocation to currency trading. Daily FX volume is approximately 4.9x the daily turnover of the US bond market and 32x the daily turnover of the New York Stock Exchange.

To know more about Eleuthera Capital watch this video: http://www.opalesque.tv/hedge-fund-videos/Philippe_Bonnefoy/1

 

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Eleuthera’s models typically generate high returns in periods of high volatility. The majority of trading is conducted intra-day in the currency (and bullion) spot markets; however, it is not a “high frequency” trading system.

To get more information on Eleuthera Capital please watch this video: http://www.opalesque.tv/hedge-fund-videos/Philippe_Bonnefoy/1

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Opalesque Campus: Top Hedge Fund Academic – Operational Due Diligence as a Source of Alpha in quant analytics

Opalesque Campus: Top Hedge Fund Academic – Operational Due Diligence as a Source of Alpha in quant analytics

Stephen J. Brown is David S. Loeb Professor of Finance at the Leonard N. Stern School of Business, New York University. Professor Stephen Brown describes how his recent research reports into operational due diligence have shown that operational risk is the “disease” that plagues hedge funds and funds of funds, and accounts for low market-adjusted returns along with many of the fund failures that occurred in 2008. While financial risk is a “symptom” of the disease, operational risk is more predictive of fund failure than is financial risk.

To get more information about Stephen Brown and Operational Due Diligence watch this video:http://www.opalesque.tv/hedge-fund-videos/Stephen_Brown/1

 

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Prof. Brown’s research proves that managers and investors did not take due diligence processes very seriously leading up to 2008. Focusing on the central role of funds of funds as the primary conduit for institutional investing into the hedge fund space, Stephen argues that the traditional question of how much diversification a fund of funds should utilize is the wrong question.

To know more information about Stephen Brown’s research watch this video:http://www.opalesque.tv/hedge-fund-videos/Stephen_Brown/1

 

 

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Alpha Spectral Analysis http://jonathankinlay.com/?p=412


Alpha Spectral Analysis http://jonathankinlay.com/?p=412

One of the questions of interest is the optimal sampling frequency to use for extracting the alpha signal from an alpha generation function. We can use Fourier transforms to help identify the cyclical behavior of the strategy alpha and hence determine the best time-frames for sampling and trading. Typically, these spectral analysis techniques will highlight several different cycle lengths where the alpha signal is strongest.

jonathankinlay.com

Very interesting idea, doing correlation analysis of the spectra and not the price data. Good work.

 

 

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Want alpha during the next financial crisis? Try managing the future

Want alpha during the next financial crisis? Try managing the future allaboutalpha.com

Managed futures and hedge funds aren’t exactly best friends, but a new report suggests investors should have the two together as a way to generate alpha the next time a black swan shows up.

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