1. How would you modify the HRP exercise 1, algorithm to produce allocations that add up to 0,…

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1. How would you modify the HRP exercise 1, algorithm to produce allocations that add up to 0, where

2. Can you think of an easy way to incorporate expected returns in the HRP allocations?

exercise 1

Given the PnL series on N investment strategies:

(a) Align them to the average frequency of their bets (e.g., weekly observations for strategies that trade on a weekly basis).

(b) Compute the covariance of their returns, V.

(c) Identify the hierarchical clusters among the N strategies.

(d) Plot the clustered correlation matrix of the N strategies.

 

 

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