Strategy Capacity: When Trade Size Changes the Result

A backtest can look flawless and still be untradeable. I've watched rules with clean equity curves that assumed every signal filled at the closing print fall apart the moment real…

Comments Off on Strategy Capacity: When Trade Size Changes the Result

Rank Correlation: Measuring Screen Ranking Stability

You run a factor screen at the end of August, and the ten names at the top look familiar. You run it again four weeks later. The same companies are…

Comments Off on Rank Correlation: Measuring Screen Ranking Stability

Portfolio Turnover Explained: Reading the Number Right

Two fund fact sheets sit open on my screen. One reports portfolio turnover of 28 percent for the year. The other reports 165 percent. The instinct is to read the…

Comments Off on Portfolio Turnover Explained: Reading the Number Right