Quantitative Asset Management - Building Systematic Real-World Strategies with Michael Robbins
Excess Returns
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The Importance of Backtesting in Quantitative Asset Management
This chapter discusses the significance of backtesting in quantitative asset management, highlighting the need for practitioners and investors to understand its nuances and potential pitfalls. It covers factors such as modeling transaction costs, analyzing rebalance periods, and accounting for slippage for more accurate and predictive backtests, emphasizing the lack of discussion on these techniques in other sources.
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