Systematic Sector Determination
-
rickyvic
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
-
rickyvic
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Systematic Sector Determination
Deleted (sorry I don't know what happened with these multiple copies of the same message)
"amicus Plato sed magis amica Veritas"
-
rickyvic
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Systematic Sector Determination
Pardon me if I don't know that much about it, but what is the reason to classify and cluster by sector if you already know what sectors each stock belongs to?
"amicus Plato sed magis amica Veritas"
-
nikol
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Systematic Sector Determination
@rickyvic
ENRON before collapse turned into pure M&A arb engine.
Few years back GE had financial profits larger than from sales of products (not sure about now).
etc etc.
Somewhere, in 2005/06, to validate margin model for my bank's Prime Brokerage I checked Bloomberg Classification of Hedge Funds "strategy" applying clustering metrics over monthly NAV returns. Of course, Bloomberg just mapped HF prospects.
I did it in two ways:
- constructing clusters of returns of HF's and then mapping it to BB-classes. (direct)
- taking BB-classes and then mapping to "most suitable" cluster. (reverse)
Basically, substitution of BB-classes with clusters did not change margins applied to specific FoHFs in our existing portfolio, so the conclusion about the use of BB-classes as information source was positive.
ENRON before collapse turned into pure M&A arb engine.
Few years back GE had financial profits larger than from sales of products (not sure about now).
etc etc.
Somewhere, in 2005/06, to validate margin model for my bank's Prime Brokerage I checked Bloomberg Classification of Hedge Funds "strategy" applying clustering metrics over monthly NAV returns. Of course, Bloomberg just mapped HF prospects.
I did it in two ways:
- constructing clusters of returns of HF's and then mapping it to BB-classes. (direct)
- taking BB-classes and then mapping to "most suitable" cluster. (reverse)
Basically, substitution of BB-classes with clusters did not change margins applied to specific FoHFs in our existing portfolio, so the conclusion about the use of BB-classes as information source was positive.
-
rickyvic
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Systematic Sector Determination
In fact that would be my guess, especially in stocks there might be some companies that have overlapping sectors but really how many.
The risk that instead you pick a statistical correlation that in fact is not meaningful is probably higher.
No study behind it just educated guess.
The risk that instead you pick a statistical correlation that in fact is not meaningful is probably higher.
No study behind it just educated guess.
"amicus Plato sed magis amica Veritas"
-
nikol
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Systematic Sector Determination
> but really how many
Systematic trading embeds Systematic risk measurement and study.
To understand Risk one have to generate full (i.e. complete) list of risk factors and then one by one estimate if it can be neglected.
If you single out those "not many", then you have to figure out if it is an opportunity or it is an unnecessary risk.
Feel pedantic a bit, sorry
Systematic trading embeds Systematic risk measurement and study.
To understand Risk one have to generate full (i.e. complete) list of risk factors and then one by one estimate if it can be neglected.
If you single out those "not many", then you have to figure out if it is an opportunity or it is an unnecessary risk.
Feel pedantic a bit, sorry
-
eeng
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Systematic Sector Determination
Read this some time ago:
https://www.winton.com/research/systematic-methods-for-classifying-equities
First they cluster the covariance matrix (nothing new) and then they mine the 10K Section 1 (business description) which sounded more interesting.
https://www.winton.com/research/systematic-methods-for-classifying-equities
First they cluster the covariance matrix (nothing new) and then they mine the 10K Section 1 (business description) which sounded more interesting.
quantmatters.wordpress.com