Overlapping Portfolio

Optuma Forums Optuma Feature Requests Overlapping Portfolio

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  • #64623
    deepak
    • Topics: 50
    • Replies: 35
    • Posts: 85

    Hiii Sir,

    As the back testing module is getting updated this year i have found one more thing which is interesting. It is called overlapping portfolios of momentum stocks. Please check if its possible to include this option in back tester.

    https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3553765

    Regards,
    Deepak

    #64759
    Mathew
    • Topics: 36
    • Replies: 1,938
    • Posts: 1,974

    Hi Deepak,

    From my quick read of this, it looks like they were just testing on an overlap of Momentum strategies. ie the security must meet strategy 1’s and strategy 2’s criteria to be selected. Where 1 was 6-month Momentum and 2 was 12-month.

    If there is more to it that I’ve missed, please feel free to explain here what it is and how it could be used in our testers.

    All the best

    Mathew

    #64763
    deepak
    • Topics: 50
    • Replies: 35
    • Posts: 85

    Yes sir its nothing but the intersection of 6 month and 12 month portfolios.

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