Tag: factors
We develop and backtest a factor orphan strategy: the basket of stocks not held by any factor strategy at a given time.
With decades of empirical evidence supporting them, we ask the simple question: "How long would a factor have to fail for us to give up hope?"
While quantitative styles such as value, momentum, low volatility, and carry have been applied to equities, we explore their use within municipal bonds.
Growth and value have intuitive definitions but can be quantified in many ways. A diversified approach can lead to more consistent performance over time
Pursuing Factor Purity
By Corey Hoffstein
On January 6, 2020