Re:Quant Strategies Implemented by the Quantopian Community
by frankc on Thursday February 13, 2014 @08:29PM
(#7236217)
Total returns versus the benchmark is not the only important measure. For instance, the minimum variance strategy visibly underperforms its benchmark but it has way lower volatility and fewer drawdowns. These are more important in the real world where you are likely to be heavily levered.
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