AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
The Importance of a One Over N Approach to Trading Signals
The added informational benefit you get from statistics like volatility and correlation is often offset by the uncertainty with which you are measuring those statistics. A naive one over N approach proves to be incredibly robust out of sample. Even across 25 portfolios sorted on both size and booked a market, there's less than two independent sources of return.