We have a couple of important and exciting updates:
The new, “Adaptive” version of Quarta reduces portfolio exposure when the factors aren't predicted to do well. This results in 40% less turnover & transaction costs, a small improvement in Sharpe Ratio. We recommend trading it as the default option over any other option.
There's new a “Replication Kit” that lets you construct your own, multi-factor portfolio from the raw factor data accessible here: Link to the notebook
It uses the least amount of assumptions (arithmetic averaging) to achieve Sharpe 2+, market-neutral long/short portfolios. Leverage our cross-sectional alpha factors and apply your expertise in modeling & portfolio construction to create truly unique & high-performing portfolios. If you haven't yet subscribed, your API key now has access to all historical data (up to 30 days ago), so you can start experimenting with modeling immediately.
Our new Independent Trader Program helps getting access to Unravel if your AUM can't justify the original price point. Please apply here!
We just started - releasing major new features, endpoints and factors in the upcoming months.
The Unravel Team