## Trend Following Risk Parity

The inspiration for this strategy comes from two thesis, Eidenvall, A. (2021). and Baltas, N. (2015). in which we construct … Continue Reading Trend Following Risk Parity

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# Category: GPR Report

## Trend Following Risk Parity

## Weak Factor Alpha Strategy 2

## An Effective Approach for Obtaining a Group Trading Strategy PortfolioUsing Grouping Genetic Algorithm

## Weak Factor Alpha Strategy 1

## The (Mis)Behavior of Hedge Fund Strategies: A Network-Based Analysis

## Multi-filter Optimization for Pair Trading

## Application of Portfolio Decisions Within a Generalized Funding Ratio Framework

## Quant Investing : Idea For Inflation Strategy Improvement

## Quant Investing : Inflation Hedge Improvement

## Quant Investing: Composed Volatility based Time Series Momentum

## Quant Investing : Hedge Interest Rate Risk in High Inflation Environment

## GPR Report – Behavioral Finance [慣性盈餘]

The inspiration for this strategy comes from two thesis, Eidenvall, A. (2021). and Baltas, N. (2015). in which we construct … Continue Reading Trend Following Risk Parity

Continuing from the previous report, we will now introduce how to incorporate the filtered features into a classifier model for … Continue Reading Weak Factor Alpha Strategy 2

Grouping Genetic Algorithm (GGA) is a concept in the algorithm of computer science. In the paper An Effective Approach for … Continue Reading An Effective Approach for Obtaining a Group Trading Strategy PortfolioUsing Grouping Genetic Algorithm

The idea of this strategy comes from the weak learner in the classifier, which first generates technical indicators and then … Continue Reading Weak Factor Alpha Strategy 1

Financial advisors focus on asset class as a way to help investors diversify their portfolios to maximize returns. Investing in … Continue Reading The (Mis)Behavior of Hedge Fund Strategies: A Network-Based Analysis

Pair trading is a market neutral strategy, its concept is using multiple high connected symbol which have high linkage between … Continue Reading Multi-filter Optimization for Pair Trading

Harmonizing portfolios is always trending. Modern Portfolio Theory (MPT), the 1990 Nobel Memorial Prize in Economic Sciences, was proposed by … Continue Reading Application of Portfolio Decisions Within a Generalized Funding Ratio Framework

Since the beginning of 2022, although inflation stays at a high point, but with the Federal Reserve actively expressing its … Continue Reading Quant Investing : Idea For Inflation Strategy Improvement

In Hedge Interest Risk in High Inflation Environment, we present a simple combined strategy that aims to eliminate interest rate … Continue Reading Quant Investing : Inflation Hedge Improvement

The traditional momentum factor (cross mom) is a strategy that buys past winners and short sells past losers. It has … Continue Reading Quant Investing: Composed Volatility based Time Series Momentum

In the previous work Inflation-Protected Bond Rotation Strategy. We introduce an inflation indicator to form a bond allocation strategy under … Continue Reading Quant Investing : Hedge Interest Rate Risk in High Inflation Environment

Examining on Post Earnings Announcement Drift (PEAD), we deliver a long-short strategy generating 9.96% alpha with -0.45 S&P 500 beta. … Continue Reading GPR Report – Behavioral Finance [慣性盈餘]