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129 60 72 Training Figure 12. heat map heat map 10.04 -0.02 -0.08 --0.14 - 7 6 Optimizing a 75-stock portfolio in the S&P 100 index, end of February 2000: (a) of the 2-month information ratio; (b) heat map of the 2-month differential return; (c) of the 1-month information ratio; (d) heat map of the 1-month differential return. Table 12.8a: Long and short portfolio parameter choices, February 2000 | Alpha | Training months | Long | | | Short | -12% | |
portfolios for October 2000 with the parameters given in Table 12.8b. The last line of this table corresponds to the snapshots taken in October 2000 that were analysed in Figure 12.7 to obtain the parameter choices given in Table 12.8b. The rest of the table indicates how these parameter choices would have performed since January 1995. For example, the first line of the table shows that taking the portfolio parameter alpha as 5% (long) and -8% (short) and training 30 months would not have been a good choice at all in January 1995.
36 48 60 72 Training 84 96 108 120 60 72 Training Figure 12.7 Optimizing the stock portfolio of Figure 12.6, October 2000: (a) heat map of the 2-month information ratio; (b) heat map of the 2-month differential return; (c) last ADF statistic; (d) mean ADF statistic. Table 12.8b: Long and short portfolio parameter choices, October 2000 | Alpha | Training months | Long | | | Short | | |
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