- ASRS Background
- Identifying a set of factors
- Comparing Single Factor Indexes
- Multi-Factor Portfolio Construction
May 19, 2017
Harvey, Liu, and Zhu (2015) report 59 new factors discovered between 2010 and 2012.
SPOILER: No! Do your due dilligence.
|Annualized Return||Annualized Std Dev||Annualized Sharpe (Rf=0%)|