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Tag: factors

pythonpapercovariancehigh-frequencyfactorsafter-work

Introducing Knowing Factors or Factor Loadings, or Neither? for after-work quants

Dai, Lu & Xiu (2019) compare large-covariance estimators from noisy high-frequency data when you know factors, know loadings (BARRA-style), or know neither. Plain-language intro. Not investment advice.

pythonpaperquality-minus-junkfactorsafter-work

Introducing Quality Minus Junk for after-work quants

Asness, Frazzini & Pedersen (2018) build a Quality-Minus-Junk (QMJ) factor from profitability, growth, and safety. Plain-language intro. Not investment advice.

pythonpaperbetting-against-betafactorsafter-work

Introducing Betting Against Beta for after-work quants

Frazzini & Pedersen (2014) document the low-beta anomaly and the Betting-Against-Beta (BAB) factor. Plain-language intro. Not investment advice.

pythonpapercarryfactorsafter-work

Introducing Carry for after-work quants

Koijen, Moskowitz, Pedersen & Vrugt define a portable, model-free carry measure across FX, bonds, commodities and equities. Plain-language intro. Not investment advice.