MMC2 Announcement

You’re still scored on regular targets in the main tournament, and mmc will be scored on feature neutral targets. You just choose if you want to use the new targets to supplement your training or not.

Feature neutral targets may be at a disadvantage in some ways, but they should be lower risk as well, given less simple exposures. You may see lower returns but higher sharpe in your tests.

It’s also worth considering if you think simple linear factors will continue having an edge or not in the future. If you think not, why not just remove them all before hand so your model doesn’t learn them?