Rebalance Ep 18: Liquid Value Stocks

Rebalance is a weekly flash briefing of new features and updates for you, our QC community. In our 18th episode we’re happy to share:

  1. More time to submit competition alphas! We are extending our Liquid ETF Competition until January 20th as the new PSR filter criteria is proving tough to crack. You can use the liquid universe ETF helpers we’ve made and check out the latest community forum posts for ideas, tips, and answers to questions. When you’re ready, submit your alpha here.
  2. An improved LEAN Report Creator! Our engineering team has built a more robust report creator that reuses the portfolio math from LEAN so you’re able to generate accurate leverage and exposure plots on complex asset classes. The improvements also speed up report creation.
  3. A big thanks to our open-source contributor Prasad who recently caught a bug that our team has fixed! Now python consolidators can accept a timedelta object to consolidate your data by time passed. They can even consolidate data according to the calendar weeks and months. Your contributions to LEAN are so appreciated! Find out more about the open-source here.
  4. A new boot camp! In the Liquid Value Stocks lesson we’ll filter a universe of stocks using fundamental data, update our portfolio each month, buy the 10 best value stocks based on earnings yield, and short the worst value stocks.
Sherry Yang

By: Sherry Yang

19.12.2019
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