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Weak Correlations of Stocks Future Returns

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  • Ludovico Latmiral

Abstract

We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a profitable portfolio of assets which exhibits minor drawdowns and higher recoveries than both an equally weighted and an efficient frontier portfolio.

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  • Ludovico Latmiral, 2018. "Weak Correlations of Stocks Future Returns," Papers 1806.05160, arXiv.org, revised Sep 2018.
    • Handle: RePEc:arx:papers:1806.05160
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