Ray Dalio, the founder of Bridgewater Associates L.P. and the creator of the All-Weather investment strategy, recommends having some gold in a contemporary environment. He states, “In a world of ongoing pressure for policymakers across the globe to print and spend, zero interest rates, tectonic shifts in where global power lies, and conflict, gold has a unique role in protecting portfolios. It’s wise to hold some gold.” Therefore, one would ask a question, what is the optimal weight of gold in a portfolio?

https://quantpedia.com/what-is-the-optimal-gold-allocation-in-a-portfolio/


Corporate insiders often have insight into a company’s private information, which might help them predict how the shares’ price will move in the coming days. However, laws and regulations are designed to keep them from trading based on this knowledge, as it would be unfair and hurt the company’s other shareholders. This includes the prohibition of insider trading or designing a 10b5–1 plan, which we will discuss in this article. Anyways, knowing about incoming losses or the will to create profits might lead these insiders to different practices that could be questioned. Let’s look at some of the newest research concerning these issues.

https://quantpedia.com/insider-trading-what-happens-behind-closed-doors/


There are many ways one can lose money when investing, and exchange rates are one of the potential risk factors. Luckily, there are several ways to minimize this type of loss in your portfolio. Systematic tactical FX hedging that uses currency factor strategies is a way of protecting an existing or anticipated position from an unwanted move in an exchange rate. It does not eliminate the risk of loss completely but helps to manage currency exposure better.

https://quantpedia.com/three-simple-tactical-fx-hedging-strategies/


Order book information is crucial for traders, but it can be complex. With the numbers of stocks listed in stock exchanges, it is impossible to track all the available information for the human mind. Therefore, the order flows could be an interesting dataset for machine learning models. …


- Portfolio Clustering Quantpedia Pro report — Partitioning Around Medoids, Hierarchical, and Gaussian Mixture

- 8 new blogs

Also, in Quantpedia Premium:

- 13 new premium strategies

- 10 new related papers

- 10 new backtests

https://quantpedia.com/quantpedia-highlights-in-september-2021/


This is the third and final article from the clustering series. This section examines three trading strategies based on previously introduced clustering methods and concludes the whole series of articles. The complete Portfolio Clustering report will be available for our Quantpedia Pro clients next week.

https://quantpedia.com/introduction-to-clustering-methods-in-portfolio-management-part-3/


The CAPM model was a breakthrough for asset pricing, but the times where the market factor was most widely used are long gone. Nowadays, if we exaggerate a bit, we have as many factors as we want. Therefore, it might not be straightforward which factor model should be used.

Hanauer…


October’s is coming, and we continue our short series of introductory articles about portfolio clustering methods we will soon use in our new Quantpedia Pro report. In the previous blog, we introduced three clustering methods and discussed the pros and cons of each one. Additionally, we showed a few examples of clustering, and we presented various methods for picking an optimal number of clusters.

This section demonstrates the Partitioning Around Medoids (PAM) — a centroid-based clustering method, Hierarchical Clustering, which uses machine learning and Gaussian Mixture Model based on probability distribution and applies all three methods to an investment portfolio that consists of eight liquid ETFs.

https://quantpedia.com/introduction-to-clustering-methods-in-portfolio-management-part-2/


This blog post is the continuation of series about Quantconnect’s Alpha market strategies. Part 1 is here and Part 2 can be found here. This part is related to the factor strategies notoriously known from the majority of asset classes. We continue in the examination of factor strategies built on top of social trading strategies, but in this part, the investment universe is reduced based on the insights of the last part. So, without further due, we continue where we have left last time.

https://quantpedia.com/community-alpha-of-quantconnect-part-3-adjusted-social-trading-factor-strategies/


At the beginning of October, we plan to introduce for our Quantpedia Pro clients a new Quantpedia Pro report dedicated to clustering methods in portfolio management. The theory behind this report is more extensive; therefore, we have decided to split the introduction into our methodology into three parts. We will publish them in the next few weeks before we officially unveil our reporting tool. This first short blog post introduces three clustering methods as well as three methods that select the optimal number of clusters. The second blog will apply all three methods to model ETF portfolios, and the final blog will show how to use portfolio clustering to build multi-asset trading strategies.

https://quantpedia.com/introduction-to-clustering-methods-in-portfolio-management-part-1/

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