Buy-Side _ September 2022

New month = new investments! This month, I continue using the expanding window approach as presented in The Static, the Expanding, and the Moving. Additionally, as discussed in Update #0826, I will also start using only dolvol as a single asset factor. 

Following this practice, I have managed to obtain a new theta that is slightly different compared to those of Buy-Side _ August 20.

This theta is essentially telling me to put less weight on stocks with a higher past trading volume and, per construction, ignore any information provided by the market beta. 

Moreover, this is what the estimated optimal asset allocation (expressed as the number of shares to buy) looks like for September 2022. 

My buy-side plan above is expected to enter the market tomorrow, 5 Sep 2022.