this paper is f*cking insane
a quant paper uncovered a factor with a 13+ Sharpe out-of-sample by conditioning purely on market regimes.
the numbers: 158.6% annualized returns, 12.0% volatility, -11.9% max drawdown, tested across 20 years of S&P 500 data.
the crazy part is this factor isn't always active, it only kicks in during specific drift regimes.
most factor models chase what works.
this one chases when it works.
bookmark before this thread gets buried.
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