Rebalance Ep 12: Alt Data & Uncorrelated Returns

Rebalance is a weekly flash briefing of new features and updates for you, our QC community.  In our 12th episode we’re happy to share:

  1. Fresh alternative data! We have new data from the US Energy Information Administration, Federal Reserve, and the Chicago Board Options Exchange. It’s free and accessible to all users. The energy data contains roughly 200 petroleum metrics such as “Gross Input Into Refineries”. The Federal Reserve data makes more macroeconomic indicators available. The Chicago Options data provides volatility indexes for use in your next algorithm. Find the documentation for US Energy data here, Federal Reserve data here, and Chicago Board Options Exchange data here.
  2. A new competition! We are following up last month’s Alpha Five contest with a new Liquid ETF competition that will run November through mid-December! We have a prize pool of $10,000 and are looking for Alpha submissions that produce returns uncorrelated with the S&P 500. You can find more information about the Liquid ETF contest here. Keep watching the Alpha Five leaderboard as well, those submissions are moving on to the live phase of their competition!
  3. A template for discovering uncorrelated assets! In this week’s “Research to Production” mini-series Jack walks us through finding a portfolio that can be more diversified and resilient to extreme market events by looking for uncorrelated assets. When combined with other indicators and data sources, the diverse portfolio becomes the foundation for building a robust algorithm. You can read the post and clone the template here.
Sherry Yang

By: Sherry Yang

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