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7. (18 pts) Describe the steps in conducting a backtest of a quantitative strategy for a ten-year period with annual rebalancing. Be clear about a)
7. (18 pts) Describe the steps in conducting a backtest of a quantitative strategy for a ten-year period with annual rebalancing. Be clear about
a) The temporal (time) relationship between factor scores, optimization dates, and return calculations;
b) the role of risk models, and
c) the role of portfolio construction (e.g. long-only vs. long/short).
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