You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Hi Savva, hope you are well. First of all, your videos are awesome. Do you know if there any portfolio optimization process using fundamental indicators?
Hi Rodrigo, and glad you are enjoying the channel! Excellent question, the conceptual issue here is that portfolio optimisation as a concept deals with constructing optimal allocation (asset weights) when the expected/target returns and some measure of the risk structure (e.g., covariance matrix) is known, and this distinction goes back to Markowitz in the '50s. What fundamental indicators can be useful for is assessing target prices of assets and hence their target returns. I have got a tutorial where fundamental analysis (value driver regression, to be precise) is used for exactly that: ruclips.net/video/SlaNiHjVR7Q/видео.html
This is a superb explanation on how to put theory into practice. I have two questions. Firstly, following the presupposition of a highly risk averse investor, would it make sense to import as many financial instrument indices as feasibly possible to approach pure beta exposure (given trading account limitations), and optimise much the same? Secondly, do you have any experience with using similar solves in statistical languages like R and Python? Much apologies, my background is in very generic business administration.
Hi Mr. Saba. Very instructive and informative video. Can I use 5 years or any amount of years instead 10 years in computing Return-historical. Also, weekly or monthly instead daily. Thank you so much for teaching
Thank you Mr.Savva for providing accessibility of quality education and simplifying complex concepts. I am analyzing a portfolio performance compared to a benchmark (S&P500) and I am confronted with the survivorship Bias problem. Thus, I was wondering how can I avoid and attenuate the bias since the portfolio that I am constructing is formed through a filter process of the S&P 500 index companies according to a certain criteria. Thank you very much in advance.
Hi Maher, and thanks so much for the feedback! Glad you are enjoying the channel! As for your question, you could address the survivorship bias by constructing your portfolio from companies that has been in the SP500 index at the start of your investing period rather than at the end.
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Thanks! Super clear explanation!
Hi Savva, hope you are well. First of all, your videos are awesome.
Do you know if there any portfolio optimization process using fundamental indicators?
Hi Rodrigo, and glad you are enjoying the channel! Excellent question, the conceptual issue here is that portfolio optimisation as a concept deals with constructing optimal allocation (asset weights) when the expected/target returns and some measure of the risk structure (e.g., covariance matrix) is known, and this distinction goes back to Markowitz in the '50s. What fundamental indicators can be useful for is assessing target prices of assets and hence their target returns. I have got a tutorial where fundamental analysis (value driver regression, to be precise) is used for exactly that: ruclips.net/video/SlaNiHjVR7Q/видео.html
@@NEDLeducation Thanks Savva!
This is a superb explanation on how to put theory into practice. I have two questions. Firstly, following the presupposition of a highly risk averse investor, would it make sense to import as many financial instrument indices as feasibly possible to approach pure beta exposure (given trading account limitations), and optimise much the same? Secondly, do you have any experience with using similar solves in statistical languages like R and Python? Much apologies, my background is in very generic business administration.
Hi Mr. Saba. Very instructive and informative video. Can I use 5 years or any amount of years instead 10 years in computing Return-historical. Also, weekly or monthly instead daily. Thank you so much for teaching
Hi WIlliam, yes, absolutely, you can apply the techinque on any sample size or frequency.
Thank you Mr.Savva for providing accessibility of quality education and simplifying complex concepts. I am analyzing a portfolio performance compared to a benchmark (S&P500) and I am confronted with the survivorship Bias problem. Thus, I was wondering how can I avoid and attenuate the bias since the portfolio that I am constructing is formed through a filter process of the S&P 500 index companies according to a certain criteria. Thank you very much in advance.
Hi Maher, and thanks so much for the feedback! Glad you are enjoying the channel! As for your question, you could address the survivorship bias by constructing your portfolio from companies that has been in the SP500 index at the start of your investing period rather than at the end.
@@NEDLeducation Thank you for your answer