Skip to main content

Research Disclaimer

This material has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by the author and Matroid Evolved (“ME”) to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. The information set forth herein has been provided to you as secondary information and should not be the primary source for any investment or allocation decision.


Past performance is not a guarantee of future performance.


This document is not research and should not be treated as research. This document does not represent valuation judgments with respect to any financial instrument, issuer, security or sector that may be described or referenced herein and does not represent a formal or official view of ME.


The views expressed reflect the current views as of the date hereof and neither the author nor ME undertakes to advise you of any changes in the views expressed herein. It should not be assumed that the author or ME will make investment recommendations in the future that are consistent with the views expressed herein, or use any or all of the techniques or methods of analysis described herein in managing client accounts. The information contained herein is only as current as of the date indicated and may be superseded by subsequent market events or for other reasons. Charts and graphs provided herein are for illustrative purposes only.


The information in this document may contain projections or other forward-looking statements regarding future events, targets, forecasts or expectations regarding the strategies described herein, and is only current as of the date indicated. There is no assurance that such events or targets will be achieved, and may be significantly different from that shown here. The information in this document, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons.

Labels:

Popular posts from this blog

Deflated Sharpe Ratio can reduce false discovery

  Introduction With the recent advent of large financial datasets, machine learning, and high-performance computing, analysts can backtest millions of alternative investment strategies. Backtest optimizers search for combinations of parameters to maximize a strategy's simulated historical performance, leading to backtest overfitting. The performance inflation problem goes beyond backtesting. More generally, researchers and investment managers tend to report only positive results, a phenomenon is known as selection bias. Failure to control the number of tests involved in a given finding can lead to overly optimistic performance expectations. The Deflated Sharpe Ratio (DSR) corrects for two major sources of performance inflation: selection bias under multiple tests and non-normally distributed returns . By doing so, DSR helps separate legitimate empirical results from statistical deception. Backtesting is a good example. Backtesting is a historical simulation of how a particular inv
Post a Comment
Read more

Alternative Sector Classification Methods

Abstract This paper offers two alternative sector classification methods in order to classify companies more accurately. Introduction During the early 1900s, various departments of the US government initiated research and studies on the various industries and their different functions. Due to the lack of set standards, each department ended up using its own methodology. Consolidating information across multiple sources became a challenge. The Standard Industrial Classification (SIC)  was hence proposed as a uniform classification system, aimed to represent major industries, sub-class and specific function/product, and was formally adopted in 1937.  However, SIC was facing a challenge because of the change in the economic environment. After that, the Global Industry Classification System (GICS) was launched by Standard & Poor's (S&P) and Morgan Stanley (MSCI) in August 1999. The standard provides a comprehensive, globally consistent definition of economic sectors and industr
Post a Comment
Read more