AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
3min chapter
Replacing linear factors with a non-linear, characteristic approach in quant equity
Flirting with Models
Optimized Walk Forward Models Can't Perform Well on a Market
If you run the same walk forward optimized model in US large cap, you would earn an excess return of 2% and an information ratio of 0.6 after transaction costs since 2010. If you're trying to do walk forward prediction in an efficient market, you're going to have mediocre results as you wouldn't realize. A profitable retail stock in China A shares is not going to be any more correlated with a profitable techStock in China than an unprofitable tech Stock in China.
00:00
Transcript
Episode notes
Get the Snipd
podcast app
Unlock the knowledge in podcasts with the podcast player of the future.
AI-powered
Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode
Save any
moment
Hear something you like? Tap your headphones to save it with AI-generated key takeaways
Share
& Export
Send highlights to Twitter, WhatsApp or export them to Notion, Readwise & more
AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode