Q2: Jessica Stauth – Seeking Alpha? Try Alpha Factors
Chat With Traders
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How to Evaluate Your Portfolio's Returns
In the quantopian lecture series we actually cover all this. We have lectures that touch on multiple regression and spearmen rank correlation which is what Jess was talking about earlier. There's a variety of ways to do this some people use covariance techniques, other people use multiple regression models. The general idea is if you have a high dependency with the broad market then it means your strategy can basically be expressed by put most of the money into the broad market and then do something else with the rest of the money does that make sense?
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