Treynor Black model
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guphex08 июля 24 г. | Posted in general
I have a question about optimizing my portfolio based on the alpha and beta factors using the Treynor Black model. It seems that I can analyze an optimized portfolio, but can't adjust a previously created portfolio based on the template. Do I have to go through trial and error to lower the beta of my portfolio, or is there a way to calculate it separately in Excel? Is there a better way to manage this process within the platform?
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Dmitry Shevchenko10 июля 24 г.
Hey, I'm not sure I fully understand the question. How are you trying to adjust the created portfolio after optimization?
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guphex11 декабря 24 г.
Do you support Alpha extraction with fama and french factors to overweight the stocks that have generated more alpha in the past with the aim of making the portfolio more performing before executing the optimization? This process can be done regardless of the type of optimization chosen.
DS
Dmitry Shevchenko12 декабря 24 г.
No, Alpha extraction is currently not supported
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