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Low beta high alpha universe

I noticed that quant connect already has capabilities to calculate alpha, beta, sharpe ratio, probabilistic sharpe ratio etc. These are currently calculated at the portfolio level and displayed in the back testing results area. The same logic can be used to calculate this for individual stocks, in other words the portfolio consists of just one stock.

Is there a way to leverage this capability to create a few different universes as follows:

- First one being a combination of alpha and beta that is high alpha and low beta stocks for the given duration such as 1 month, 1 year etc.

- The second one being an universe of stocks based on quant connects proprietary PSR?

- the last but not the least being an universe of stocks based on sharpe ratio.

Thanks.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi Manoj,

We don't have alpha, beta, Sharpe, and PSR as indicators, so these indicators will have to be implemented by the user to use for Universe Selection.

Best,
Shile Wen

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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