As someone with 10+ years of exp in the industry, I had no clue what this was actually doing after reading the github page. Had to dive through the examples and videos.
The alphas showcased seem weak: 1.5 max gross SR in sample, unresidualized, unconstrained and standalone.
That would need to be blended with a hundred un correlated others to have a decent portfolio.
The alphas showcased seem weak: 1.5 max gross SR in sample, unresidualized, unconstrained and standalone.
That would need to be blended with a hundred un correlated others to have a decent portfolio.