The idea worth investigating
An ETF position-sizing study reports 28.5% annualized log growth in development, followed by 8.5% in its primary holdout result. Its uncertainty estimates remained broadly calibrated, but the return advantage did not carry through. That makes this a useful test of a practical idea: knowing how uncertain a forecast is may still leave you betting the wrong amount.
Author’s historical simulations: development 2016–2021; holdout January 2022–September 20, 2024. Log-growth rates, not CAGR; after 5 bp turnover costs but before financing, with up to 2× gross exposure.
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The headline is the starting point. The subscriber analysis takes you through:
- Why calibrated uncertainty did not preserve the growth advantage
- How leverage and financing change the comparison
- The design of a matched ETF sizing test
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