Weak Correlations of Stocks Future Returns

2018/06/13 by Ludovico Latmiral, Latmiral, Ludovico
Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Portfolio Management (q-fin.PM) #Statistical Finance (q-fin.ST) #q-fin.PM #q-fin.ST

paper · pdf · doi:10.48550/arxiv.1806.05160

8 pages, 3 figures, 1 table

openalex publication_date 2018/06/13 · arxiv created 2018/09/19 · arxiv updated 2018/09/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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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