A Season for Sectors: Significant Source of Edge?
June 25, 2018 at 11:47 AM EDT
By Corey Hoffstein, Newfound Research We like to think that, as quants, our beliefs are ultimately swayed by the weight of the evidence. But there are a few artifacts that arise from the data that are, quite simply, just hard for us to get behind. Seasonality is one of those effects. Candidly, we...