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Adam Butler - The "Ultimate Gift" (S1E1)

Flirting with Models

CHAPTER

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.

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