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Book Synopsis
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.

Using Fundamental Analysis and an Ensemble of

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    A Hardback by Manuel Moura

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      Publisher: Springer
      Publication Date: Publication Date: 6/19/2024
      ISBN13: 9783031620607, 978-3031620607
      ISBN10: 3031620607

      Description

      Book Synopsis
      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.

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