Q6: Delaney Mackenzie – Your Quantitative Trading Questions Answered
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The Signal Between the Two Factors Is Not Additive
The signal between the two factors is not additive. What is additive main in that sense? There's argument that there may be Interesting structures hidden in you know large cap stocks behave differently from small cap stocks So maybe large cap stocks are more prone to mean reversion and small cap stocks areMore prone to momentum I don't know like that's just I'm completely picking that out of thin air Something you could test.
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