Tag Archives: CAPM

Multifactor Risk Models and Heterotic CAPM

Multifactor Risk Models and Heterotic CAPM

In summary: So, stop wasting money and complaining, start building risk models and enjoy!

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2722093

Join my FREE newsletter for other helpful research papers in automated trading

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!

CAPM demos to calculate stock beta efficient frontier and portfolio management weight allocation

CAPM demos to  calculate stock beta efficient frontier and portfolio management weight allocation

http://www.mathworks.com/discovery/capm.html

http://www.mathworks.com/help/finance/risk-adjusted-return.html#bqwfow5

http://www.mathworks.com/help/finance/investment-performance-metrics-1.html

http://www.mathworks.com/help/finance/examples/capital-asset-pricing-model-with-missing-data.html

http://www.mathworks.com/help/finance/risk-adjusted-return.html#bqwfow5

http://www.mathworks.com/help/finance/portfolio-selection-and-risk-aversion.html#f9-6202

Join my FREE newsletter if you find this useful 

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!

Here is my opinion of CAPM and Sharpe Ratio while you research your potential profitable quant trading strategy

Here is my opinion of CAPM and Sharpe Ratio while you research your potential profitable quant trading strategy

This came in from some one on my email list:
Question:
do you know much about capm or sharpe ration?
http://www.investinganswers.com/financial-dictionary/stock-valuation/capital-asset-pricing-model-capm-1125
I want to write my own sharpe ratio and was hoping someone can help clarify a few things

My response:

I am no expert but I do believe CAPM is really decent for finding beta. That is about it.

Sharpe ratio is an industry standard to find the performance on your trading strategies.

More info on the function from Matlab from:

http://www.mathworks.com/discovery/capm.html

http://www.mathworks.com/help/finance/sharpe.html

Learn more of stuff like this through my FREE newsletter

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!

Webinar coming on charting, max drawdown, Beta estimating with CAPM, and Sharpe Radtio

HI there
I have now completed the analysis with Matlab’s Financial Toolbox. I am even doing an EXCLUSIVE online event for taking questions from my  QuantLabs.net Premium members on this and the Econometrics toolbox.


–> JOIN NOW TO GET ACCESS <–

Get in on this event which happen this Monday Mar 18 at 7PM EST!
I have posted a video on all this and the direction the Membership is going|:
Youtube video on Analyzed Matlab Finance toolbox but now analyzing Stats PDE and Math
https://quantlabs.net/blog/2013/03/youtube-video-on-analyzed-matlab-finance-toolbox-but-now-analyzing-stats-pde-and-math/
The other recent Financial Toolbox topics for my Members include:
High Low Close and Bollinger Chart Demo
Performance metrics with Sharpe Ratio, risk adjusted return, Lower Partial Moments
Calculate max drawdown and expected max drawdown
Using CAPM to estimate Beta in portfolio
So if you want to start learning some of these topics listed above, get in on the party action now? Also, jump on the opportunity now for this Monday’s EXCLUSIVE LIVE online event? for QuantLabs.net Premium Members.
–> JOIN NOW TO GET ACCESS <–
Several other membership benefits listed here
Thanks Bryan

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!

R URLS in Mean reversion, Statistical Arbitrage, Event arbitrage, Market Inefficiency, CAPM, Bayesian, PCA, Markov Chain Monte Carlo

R URLS in Mean reversion, Statistical Arbitrage, Event arbitrage, Market Inefficiency, CAPM, Bayesian, PCA, Markov Chain Monte Carlo

This has been posted in the PremiumMembership section. This saves people tonnes of time which R script works and which ones don’t. Also, there will be a R source code walkthrough of each coming over the next few weeks.

Get instant access to this now!

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!