Using fundamental analysis and an ensemble of classifier models along with a risk-off filter to select outperforming companies
Auteur :
Moura, Manuel / Neves, Rui
Éditeur :
Springer International Publishing AG
ISBN :
9783031620607
Date de publication :
19 juin 2024
Dimensions :
24,0 x 16,8 cm
Langue :
Anglais
Pays d'origine :
Suisse
The risk adjusted performance of the final model, supported by the risk-off filter, achieves a Sharpe ratio of 1.63 which surpasses both the model’s performance without the filter that delivers Sharpe ratio of 1.41 and the one from the S&P500 index of 0.80.