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This Blog is Systematic: PCA analysis of Futures returns for fun and profit, part #1
https://qoppac.blogspot.com/2025/07/pca-analysis-of-futures-returns-for-fun.html
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Tagged with:
futures
pca
vol targeting
factor models
equity risk premium
I know I had said I wouldn't be doing any substantive blog posts because of book writing (which is going well, thanks for asking) but this ...
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