DJIA

[WilliamY]

What strategy would you use to increase the Sharpe ratio and Alpha if you are only allowed to trade the 30 stocks in DJIA? Thanks.

 

[IlyaKEightSix]

Uh...? Stat-arb and high-frequency may work, as would many different OR techniques if you can formulate the correct model.

 

[zhouxing]

What strategy would you use to increase the Sharpe ratio and Alpha if you are only allowed to trade the 30 stocks in DJIA? Thanks.

Is there any fundamental difference if you are allowed to trade any stock? (of course you will need more computation power in the later case :->)

 

[Roger Trimble]

Take a look at the Black-Litterman model. You can run a numerical analysis on the components of the dow to come up with 'views' of the market. The model incorporates those views as an improvement over the traditional Markowitz MVO model.

 

[Sanket Patel]

What strategy would you use to increase the Sharpe ratio and Alpha if you are only allowed to trade the 30 stocks in DJIA? Thanks.

I'd listen to what the gods at Fast Money have to say.

 

[Roger Trimble]

I'd listen to what the gods at Fast Money have to say.

They're quick, though. You have to wear sneakers.

 

[jay.berg]

What strategy would you use to increase the Sharpe ratio and Alpha if you are only allowed to trade the 30 stocks in DJIA? Thanks.

all depends on commissions , margins, and leverage

what Sharpe would you like?