Asif Noor – Modern Systematic Macro (S6E9)
Flirting with Models
Alpha Signals in the Multi Strategy Program
The way I categorize these alpha opportunities in the multi site program is within 14 broad investment themes. And those 14 broad investment things are really designed to capture sort of cross correlation between those models. So if you take our 110 individual models we have in the multi strike program and run a simple clustering algorithm on them. You can cluster them into 14 broad opportunities, and then you say, okay, what are these bins roughly trying to capture. Well, interestingly, bin number one has a lot of models that try to capture sentiment using option markets. Well, let's call that option market sentiment. Well, bin two looks like a lot of our momentum models, but they're on the fastest
Remember Everything You Learn from Podcasts
