A simpler approach to producing the variability. Previously The post "Variability in long-short decile strategy tests" proposed a way of assessing the variability of strategy tests in which a [...]

How to capture return variability when testing strategies with long-short deciles. Traditional practice Question: Does variable X have predictive power for our universe of assets? A common scheme of [...]

Specifics of statistical factor models and of a particular implementation of them. Previously Posts that are background for this one include: Three things factor models do Factor models of [...]