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**Episode TimeStamps:**

**00:00 -** Intro**03:39 -** What stood out to us this week?**20:22 -** Industry performance update**22:25 -** Q1, Elie: Can you run a continuous system without daily vol targeting? Can you calculate signal scaling with in-sample data? More info on the mean reversing system with a high Sharpe?**34:42 -** Q2, Matthijs: How does Rob think about protecting/diversifying his portfolio with tail protection strategies?**42:54 -** Q3, Richard: Has Rob considered conditioning his carry forecasts based on asset class? Should I account for using the spread of nearest contract to nearest plus when calculating the raw carry forecast?**49:44 - **AQR Paper on Portfolio Optimization**54:26 - **Article from Alpha Architect on momentum...30 years after Jegaddesh and Titman's seminal paper**01:00:56 -** What is coming up in the special Year-End Group episodes?**01:05:43 -** Thanks for listening