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James Velissaris documented his academic research in 2010 where he presented various quantitative strategies for investment. With the help of these, you can create risk adjustment returns on your investment even when the market is volatile. This investment strategy results in a more diversified statistical arbitrage approach and unites the concept of moment of investment and reversion.
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James Velissaris – Get Accustomed with the Quantamental Strategy Summary of 2010
James Velissaris documented his academic research in 2010 where he presented various quantitative strategies for investment. With the help of these, you can create risk adjustment returns on your investment even when the market is volatile. This investment strategy results in a more diversified statistical arbitrage approach and unites the concept of moment of investment and reversion.Investment is no child’s play and requires much time and strategy making. Most of those who are serious about investments and have made a career out of it study the market properly and have known to act in a time-sensitive way. Since the market is extremely volatile at all times, this strategy proposed by James Velissaris has a lot of potentials.
Understanding the mean reversion strategyThe mean reversion strategy basically uses principal component analysis that helps to break the chain between stock returns and provides idiosyncratic return components. This is a momentum strategy, which takes into account various technical trading parameters that are used for trading momentum at different industry sector levels. At the same time, another tool that can be used in the process of re-calibrating exposure is dynamic portfolio optimization with any changes in the market environment.This is definitely a market-neutral approach that has been presented by Velissaris, which results in limiting the number of risks associated with the investment. However, there are a number of factors that come into play that have been negotiated by Velissaris in his model. He has proposed that a more versatile model is required so that the risks of a single model can be avoided.
A blend of strategiesIt was found by the team of researchers that there are undoubtedly various benefits of merging various strategies of momentum trading with mean reversion. However, what was found to be a more significant approach, in this case, was to maximize upon the Sharpe ratio of a particular diversified portfolio.There will undoubtedly be more risk parameters that have to be taken into consideration and will then be implemented according to the specifics of a model. It was also found that the alpha level rises when the time scales become finer.
Velissaris plans on expanding this feature on future researches that will be able to evaluate the stringent effect on making changes to the time scale with signal decay when taking into consideration mean reversion strategies as well as momentum.This strategy that was initially developed by James Velissaris has been tested on the market itself and was able to produce a hefty amount of risk-adjusted return when the market declined in 2008 and in 2019 when the market was in the full swell. Hence the strategy has been proven to be applicable in two very different market environments. The genius of Velissaris has found exposure through this paper that was presented years ago and is still applicable in the present market environment. This solution provides a great avenue for serious investors to take upon and bring in risk-adjusted returns no matter what the condition of the market.SOURCE CREDIT: https://jamesvelissaris.wordpress.com/2021/09/22/james-velissaris-get-accustomed-with-the-quantamental-strategy-summary-of-2010/
