Tag: target-design
Concepts
- Choosing the Target: Raw, Excess or Residual Returns
- Choosing the Prediction Target: Return, Rank or Direction
- Choosing What to Forecast
- Forecasting Direction vs Magnitude
- Matching Forward-Return Horizon to Signal Decay
- Rank Targets and Cross-Sectional Normalisation
- Raw, Excess or Residual Return as the Target
- Residualised Return Targets After a Risk Model
- Volatility-Scaled Return Targets