A Multi-Strategy Quantitative Portfolio
Eleven systematic strategies across equities, futures, and currencies achieve a 1.91 Sharpe ratio net of costs from January 2012 to June 2026, with 23.6% compound annual return.
Featured in No. 134 on 9 Oct 2026 · 2 days after release
- Released
- 7 Oct 2026
- First featured
- No. 134 · 9 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 4 of 5
- Identifier
- SSRN 7561158
- Authors
- Oliver Navarro
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).