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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