minor formatting

2026-07-09 21:19:07 -04:00
parent 433e5307db
commit 1e3eb46a04
3 changed files with 15 additions and 15 deletions
@@ -143,7 +143,7 @@
   "source": [
    "## Benchmark Factors and Alpha\n",
    "\n",
-    "A portfolio that returns 20% sounds great — but if the market also returned 18%, most of that performance is just the market: the portfolio went up because everything went up. To claim skill, we need to show returns *above and beyond* what standard risk factors explain.\n",
+    "A portfolio that returns 20% sounds great — but if the market also returned 18%, most of that performance is just the market: the portfolio went up because everything went up. To claim skill, we need to show returns *above and beyond* what standard risk factors explain — that is, a component lying in the orthogonal complement of the factor span.\n",
    "\n",
    "### What are the Fama–French factors?\n",
    "\n",
@@ -1089,7 +1089,7 @@
   "source": [
    "## Walk-Forward Analysis\n",
    "\n",
-    "A single full-sample Sharpe ratio doesn't quite tell us whether we have a robust strategy. Walk-forward analysis splits the sample into non-overlapping 5-year windows and computes performance metrics in each. A strategy that's positive in *every window* is far more convincing than one that earned all its returns in one lucky period.\n",
+    "A single full-sample Sharpe ratio doesn't quite tell us whether we have a robust strategy. Walk-forward analysis splits the sample into non-overlapping 5-year windows and computes performance metrics in each. A strategy that's positive in *every window* is far more convincing than one that earned all its returns in one lucky period. Stability of the signal-to-noise ratio across sub-windows is evidence that the angle between $f_t$ and $r_{t+1}$ is a persistent feature of the data, not a single-period artifact.\n",
    "\n",
    "This is pure consistency checking; we're not optimizing any parameters or anything."
   ]