Weak Correlations of Stocks Future Returns

Ludovico Latmiral

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arXiv · 1806.05160

Weak Correlations of Stocks Future Returns

Ludovico Latmiral

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Abstract

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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Ludovico Latmiral. 2018-06-13. Weak Correlations of Stocks Future Returns. https://arxiv.org/abs/1806.05160

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