Quant Mashup - Yannick KalberEmail summaries are back. Get the Quant Mashup delivered to your inbox every 1-3 days. Never more than one email per day. No spam and no sharing your address. Look for the email link in the header and sidebar. - Mike Break-Even Correlation Thresholds for Linear Predictive Signals [Yannick Kalber]When Is a Signal Good Enough? As we all know, backtesting is not a research tool, but the very end of your research pipeline. If you want to evaluate if a given signal is predictive for returns , you can do this more clearly and directly by regressing on or measuring their correlation. But “how(...) New Contributor: A Linear Regression's Predictions are a Relevance-Wtd Avg of Past Outcomes [Yannick Kalber]The book Asset Allocation: From Theory to Practice and Beyond by Kinlaw et al. (2021) is one of my favorites as it gets a few myths about mean variance optimization right, which are constantly parroted, even in academic papers to motivate some fancy new method as solution. It also provides useful(...)