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Thanks for the answers and comments above. In particular to Eric Brady, who had me reading a lot of Bayesian papers. In the end, I think the answer to the question is that on the monthly time-frame robust factor algorithms aren't really necessary. On daily and lower time frames, large spikes in returns due to events (earnings ect.) can really mess with ...


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I've often thought about the same thing. To try and figure out some concrete (in my opinion) information about a stock or mutual fund, I wrote something in Python to simulate: buying stock at some interval stock paying dividend at some interval adjusting returns for inflation subtracting out fees (if a mutual fund or something with an expense ratio) do ...



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