Week 2 Discussion

Week 2 Discussion
By Wedneday, 11:59 p.m. ET:

Post your answer to all the aspects of the discussion inquiry.

Discuss:

You saw the backtest of the Cane Combo Ranking System in class. The backtest covered the 1999-2022 time period and was based on the Russell 3000 stock Universe.

What was the return SPREAD across extreme deciles in that backtest?
What are the Russell 1000 and the Russell 2000 stock Universes?
Suppose we separately backtest the Cane Combo Ranking System in the Russell 1000 and the Russell 2000 stock Universes over the same 1999-2022 period? How do you think the return SPREAD across extreme deciles on these backtests would compare to each other? And compared to the Russell 3000 Universe?
Explain the logic behind your answer to 3.
Now consider two different quantitative managers with the same set of quantitative signals. One manages $100 million and the other managers $10 billion. Which is likely to be able to deliver superior returns to clients? How is this connected to your answers in 3 and 4?

By Saturday, 11:59 p.m. ET:

Respond to at least two of the responses provided by your classmates with analysis, assessment, or observation. Please be sure to make an attempt to respond to different classmates each week and to respond to each classmate at least once by the end of the class.

Click on the Reply button below to reveal the textbox for entering your message. Then click on the Submit button to post your message.

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