Quantitativo 

Quantitative trading strategies. Backtested, forward-tested, and live-traded.
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Why some people continue to use and promote mean-variance.

You might have noticed that posts about mean-variance trigger me.

I react when the method is presented as something that can give you an investment edge, without mentioning its obvious deficiencies:

❌ It ignores the empirically observed large loss scenarios.

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Cooking up Sharpe: A Recipe for Portfolio Construction, by Man Group

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