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arxiv: 1806.05160 · v2 · pith:ZLLDXBLLnew · submitted 2018-06-13 · 💱 q-fin.ST · q-fin.PM

Weak Correlations of Stocks Future Returns

classification 💱 q-fin.ST q-fin.PM
keywords correlationsportfolioreturnsadaptiveadoptedanalyzeassetsconstruct
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We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a profitable portfolio of assets which exhibits minor drawdowns and higher recoveries than both an equally weighted and an efficient frontier portfolio.

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