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Quantitative Investing: Strategies to exploit stock market anomalies for all investors by Fred Piard

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Chapter 5: Mixing Strategies

This chapter explores two ways of mixing anomalies to reduce risk: mixing the rules to create a new strategy, and investing separately in them with money management rules. Various blends of previous strategies are proposed and simulated. The chapter ends with a discussion about probabilities, luck and their impact on one’s portfolio.

An Attempt To Combine Everything

When identifying valuable anomalies, there is an irrepressible temptation to try to mix them.

The Top 6 sectors strategy seen previously already combines four patterns:

  1. A global market timing rule
  2. An individual timing rule
  3. A momentum ranking rule
  4. Moreover the version including IEF integrates the hypothesis of negative correlation between ...

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