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Hi everyone,
Today, we are excited to showcase the new Alpha Streams Portfolio Optimization notebook. This notebook demonstrates how we can strategically allocate among a collection of alphas each month in order to maximize the Sortino ratio of the portfolio. The notebook shows that by using the optimization, we can create a portfolio that outperforms all of the individual alphas within the portfolio in terms of raw return.
With the live equity curves of the alphas now freely available in the Alpha Market, everyone can use this notebook for analyzing alphas. For a walkthrough of how it works, we've prepared this quick video. The notebook is attached below.
Best,
Derek Melchin
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