Investable Universe: The List Behind Every Stock Screen

Two traders run what they call the same momentum screen on Monday morning. Both rank US equities by six-month price change, both take the top twenty, and both trust the…

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Information Coefficient: How to Judge a Ranking Model

Someone hands you a backtest. The headline reads: an information coefficient of 0.06, a smooth equity curve, and a claim that the model ranks stocks better than the market does.…

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