This is a summary of links featured on Quantocracy on Saturday, 01/16/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
More factors, more variance…explained [OSM]Risk factor models are at the core of quantitative investing. Weve been exploring their application within our portfolio series to see if we could create such a model to quantify risk better than using a simplistic volatility measure. That is, given our four portfolios (Satisfactory, Naive, Max Sharpe, and Max Return) can we identify a set of factors that explain each portfolios variance