unravel
unravel
Measures the asset's sensitivity to the US Cloud Computing Index, captures the lead-lag relationship between the two assets.
unravel
Benchmark (Hedera) | Strategy | |
---|---|---|
-92.8% | -64.1% | |
133.5% | 107.9% | |
0.98 | 1.22 | |
67.6% | 128.3% | |
0.00 | 0.35 | |
1.00 | 0.74 |
To understand a predictive factors predictive power, we create a simple long-only strategy and simulate its past performance (with daily rebalancing):
The strategy is rebalanced daily, on a continuous basis. There are 0.5% transaction costs applied on each position adjustment.
Get started by replicating the historical performance with our code snippets.
Copy and paste the code snippets below into your Python environment or download the files below.