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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 ...


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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