- ASRS Background
- Identifying a set of factors
- Comparing Single Factor Indexes
- Multi-Factor Portfolio Construction
- Conculsion
Ross Bennett
May 19, 2017
Harvey, Liu, and Zhu (2015) report 59 new factors discovered between 2010 and 2012.
spoiler
Qualitative Features
Quantitative Features
SPOILER: No! Do your due dilligence.
Annualized Return | Annualized Std Dev | Annualized Sharpe (Rf=0%) | |
---|---|---|---|
a | 0.1095 | 0.2136 | 0.5123 |
b | 0.0967 | 0.2158 | 0.4482 |
c | 0.1011 | 0.2154 | 0.4693 |
d | 0.1062 | 0.1932 | 0.5499 |
SP500 | 0.0784 | 0.1962 | 0.3996 |