All episodes of Chat With Traders x Quantopian mini-series are available here.
Factors are at the core of a modern quant equity workflow. This episode introduces the notion of alpha and risk factors at a high level, and delves into some of the use cases which include: understanding how the market is moving, understanding how a portfolio is exposed to sources of risk, and turning ideas for price forecasting into encapsulated alpha factors.
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Topics of discussion:
- Different ways that quants think about universe selection for portfolios.
- The purpose of alpha factors and risk factors in a professional quant workflow.
- How to seek your own alpha factors, once developing some sort of hypothesis.
- Example of a trading strategy; investing in companies with female CEOs.
“Develop a hypothesis and then set about trying to disprove it, until you find something that seems to hold up.”
Links and resources mentioned:
- Investing in Female CEO’s (Quantopian forum)
- Position Concentration Risk (Quantopian lecture)
- Fooled by Randomness, Nassim Taleb
- The Signal and the Noise, Nate Silver
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