A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing

The financial crisis of 2008 generated interest in more transparent, rules-based strategies for portfolio construction, with Smart beta strategies emerging as a trend among institutional investors. While they perform well in the long run, these strategies often suffer from severe short-term drawdown (peak-to-trough decline) with fluctuating performance across cycles. To address cyclicality and underperformance, we build a dynamic asset allocation system using Hidden Markov Models (HMMs). We test our system across multiple combinations of smart beta strategies and the resulting portfolios show an improvement in risk-adjusted returns, especially on more return oriented portfolios (up to 50$\%$ in excess of market annually). In addition, we propose a novel smart beta allocation system based on the Feature Saliency HMM (FSHMM) algorithm that performs feature selection simultaneously with the training of the HMM, to improve regime identification. We evaluate our systematic trading system with real life assets using MSCI indices; further, the results (up to 60$\%$ in excess of market annually) show model performance improvement with respect to portfolios built using full feature HMMs

People, culture, and society a researcher's guide to psychological studies in Hong Kong /

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Topological Censorship

All three-manifolds are known to occur as Cauchy surfaces of asymptotically flat vacuum spacetimes and of spacetimes with positive-energy sources. We prove here the conjecture that general relativity does not allow an observer to probe the topology of spacetime: any topological structure collapses too quickly to allow light to traverse it. More precisely, in a globally hyperbolic, asymptotically flat spacetime satisfying the null energy condition, every causal curve from \scri^- to {\scri}^+ is homotopic to a topologically trivial curve from \scri^- to {\scri}^+. (If the Poincar\'e conjecture is false, the theorem does not prevent one from probing fake 3-spheres).Comment: 12 pages, REVTEX; 1 postscript figure in a separate uuencoded file. Our earlier version (PRL 71, 1486 (1993)) contained a secondary result, mistakenly attributed to Schoen and Yau, regarding ``passive topological censorship'' of a certain class of topologies. As Gregory Burnett has pointed out (gr-qc/9504012), this secondary result is false. The main topological censorship theorem is unaffected by the erro

Sub-Doppler Molecular-Iodine Transitions near the Dissociation Limit (523–498 nm)

A widely tunable and high-resolution spectrometer based on a frequency-doubled Ti:sapphire laser was used to explore sub-Doppler transitions of iodine molecules in the wavelength range 523–498 nm. The wavelength dependence of the hyperfine transition linewidth of iodine was mapped out in this region, and the narrowest linewidth was ∼4 kHz near 508 nm. The hyperfine-resolved patterns were found to be largely modified toward the dissociation limit. The observed excellent signal-to-noise ratio should lead to high-quality optical frequency standards that are better than those of the popular 532-nm system