You can review clusters for various periods<\/strong> (actual 12-months period and the longest available period). <\/p>\n\n\n\n Additionally, you can compare how many clusters are identified<\/strong> in your model portfolio by all three clustering methods. Plus, you can investigate which assets belonged to which cluster over time<\/strong> (in all three methods).<\/p>\n\n\n\n In the end, you can review three Cluster Risk Parity Trading<\/strong> strategies and compare their performance to the naive Risk Parity benchmark. Three Cluster Risk Parity strategies create optimal clusters and then weigh the assets inside the cluster and the clusters between themselves proportionately to the inverse of their volatility, i.e. according to Na\u00efve risk parity. The optimal number of clusters is determined using the silhouette method and portfolio is rebalanced on a monthly basis.<\/p>\n\n\n\n Let\u2019s also quickly recapitulate Quantpedia Premium<\/strong><\/a> development:<\/p>\n\n\n\n Additionally, apart from our series or articles related to clustering methods, 5 new articles were published on the Quantpedia blog<\/a> in the previous month.<\/p>\n\n\n\n Asset Pricing Models in China<\/a><\/strong> Community Alpha of QuantConnect \u2013 Part 3: Adjusted Social Trading Factor Strategies<\/a><\/strong> Does Gambling Influence Stock Markets Around the World?<\/a><\/strong> How to Use Lexical Density of Company Filings<\/a><\/strong> A New Return Asymmetry Investment Factor in Commodity Futures<\/a><\/strong> Stay safe \u2026<\/p>\n\n\n\n Radovan Vojtko \u00bfBuscas m\u00e1s estrategias para leer? Suscr\u00edbete a nuestro bolet\u00edn informativo<\/a> o visite nuestra Blog<\/a> o Evaluador<\/a><\/strong>.<\/p>\n\n\n\n \u00bfQuieres saber m\u00e1s sobre el servicio Quantpedia Premium? Consulta C\u00f3mo funciona Quantpedia<\/a>, nuestra misi\u00f3n<\/a> y Oferta de precios premium<\/a>.<\/strong><\/p>\n\n\n\n \u00bfQuieres saber m\u00e1s sobre el servicio Quantpedia Pro? Compru\u00e9balo descripci\u00f3n<\/a>, mirar videos<\/a>, revisar capacidades de generaci\u00f3n de informes<\/a> y visite nuestro oferta de precios<\/a>.<\/strong><\/p>\n\n\n\n \u00bfBuscas datos hist\u00f3ricos o plataformas de backtesting? Consulta nuestra lista de Descuentos en Algo Trading<\/a><\/strong>.<\/p>\n\n\n\n \u00bfTe gustar\u00eda tener acceso gratuito a? nuestros servicios<\/a>? Entonces, Abre una cuenta con Lightspeed.<\/a> y disfrute de un a\u00f1o de Quantpedia Premium sin costo alguno.<\/strong><\/p>\n\n\n\n O s\u00edguenos en:<\/strong><\/p>\n\n\n\n Facebook Grupo<\/a>, Facebook P\u00e1gina<\/a>, Gorjeo<\/a>, LinkedIn<\/a>, Medio<\/a> o YouTube<\/a><\/strong><\/p>","protected":false},"excerpt":{"rendered":" Hello all,<\/p>\n What have we accomplished in the last month?<\/p>\n \u2013 A new Portfolio Clustering Quantpedia Pro<\/strong><\/a> report![\"\"](\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2021\/10\/Picture-109-Hierarchical-PAM.png\")
<\/figure><\/div>\n\n\n\n![\"\"](\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2021\/10\/Picture-110-Gaussian.png\")
<\/figure><\/div>\n\n\n\n![\"\"](\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2021\/10\/Picture-111-Nbr-of-Clusters.png\")
<\/figure><\/div>\n\n\n\n![\"\"](\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2021\/10\/Picture-112-Nbr-of-Clusters-2.png\")
<\/figure><\/div>\n\n\n\n![\"\"](\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2021\/10\/Picture-113-Clustering-strategies.png\")
<\/figure><\/div>\n\n\n\n
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Autores:<\/strong> Matthias X. Hanauer, Maarten Jansen, Laurens Swinkels and Weili Zhou
T\u00edtulo:<\/strong> Factor models for Chinese A-shares<\/p>\n\n\n\n
Author:<\/strong> Matus Padysak
T\u00edtulo:<\/strong> Community Alpha of QuantConnect \u2013 Part 3: Adjusted Social Trading Factor Strategies<\/p>\n\n\n\n
Autores:<\/strong> Alok Kumar, Huong Nguyen, and Talis J. Putnins
T\u00edtulo:<\/strong> Only Gamble in Town: Market Gambling Around the World and Market Efficiency<\/p>\n\n\n\n
Autores:<\/strong> Hanicova, Kalus, Vojtko
T\u00edtulo:<\/strong> How to Use Lexical Density of Company Filings<\/p>\n\n\n\n
Autores:<\/strong> Durian, Padysak
T\u00edtulo:<\/strong> A New Return Asymmetry Investment Factor in Commodity Futures<\/p>\n\n\n\n
CEO & Head of Research<\/p>\n\n\n\n
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\n\u2013 13 new Quantpedia Premium<\/strong><\/a> strategies have been added to our database
\n\u2013 10 new related research papers have been included in existing Premium strategies during the last month
\n\u2013 Additionally, we have produced 10 new backtests written in QuantConnect<\/strong><\/a> code
\n\u2013 And finally, 5+3 new blog posts that you may find interesting have been published on our Quantpedia blog<\/strong><\/a> in the previous month<\/p>","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-15406","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/15406","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=15406"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/15406\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=15406"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=15406"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=15406"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}