Not talking about camp or smart beta. What I'm interested in is simpler, stemming off Greenblatt's return on capital filtering returning around 16%/yr with annual rebalancing.
I know I'll need to teach myself python if I want to test permutations of this the test different rebalancing strategies or number of companies, eventually I want to get some sort of dynamic regression model together which would give me coefficients for some factors of price, quality, maybe even momentum. Not really algo trading as those are designed for higher frequencies I believe, but I'm sure hedge funds are doing this and I can't find any literature about it.
Any input appreciated! As a side note, I'm also having difficulty finding any research on $0 trades impacting portfolio Theory
Thanks in advance!
Submitted February 08, 2017 at 07:36AM by majortom721 http://ift.tt/2lnqCdA
