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Re:Building AI Trading Systems by smabie on Saturday June 27, 2020 @05:13PM (#23664730)
From my analysis, there's around a 3.9% abnormal return associated with a L/S beta neutral low beta strategy (long low beta, short high beta). It's Sharpe ratio is ~1, though. 3.9% is pretty significant, especially since the beta correlation is less than 2%.

There's a reason why these factors are called "persistent." For systemic reasons, it is hard to arbitrage them away, mostly due to laws, and sometimes tax implications.

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