Exabel's Factor Model

Published 23 Mar 2022 in stat.AP and econ.EM | (2203.12408v1)

Abstract: Factor models have become a common and valued tool for understanding the risks associated with an investing strategy. In this report we describe Exabel's factor model, we quantify the fraction of the variability of the returns explained by the different factors, and we show some examples of annual returns of portfolios with different factor exposure.

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