Artur Sepp: Systematic Quant Trend/Vol/Rates/Macro (@artursepp) 's Twitter Profile
Artur Sepp: Systematic Quant Trend/Vol/Rates/Macro

@artursepp

All views systematic artursepp.com/blog/. Quant of the Year by Risk Magazine: risk.net/awards/7958305…

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linkhttps://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=1229200 calendar_today28-10-2014 09:38:37

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Artur Sepp: Systematic Quant Trend/Vol/Rates/Macro (@artursepp) 's Twitter Profile Photo
Artur Sepp: Systematic Quant Trend/Vol/Rates/Macro
@artursepp

a year ago

Performance of Oakmark Select is available in Bloomberg (OAKLX) As noticed, most of it alpha came during dotcom crash, more recently alpha decayed: using rolling EWMA beta to SPY ETF This factsheet is generated using #qis Python package (need BBG for data) github.com/ArturSepp/Quan…

Performance of Oakmark Select is available in Bloomberg (OAKLX) As noticed, most of it alpha came during dotcom crash, more recently alpha decayed: using rolling EWMA beta to SPY ETF This factsheet is generated using #qis Python package (need BBG for data) github.com/ArturSepp/Quan…