Aligning factor attribution with latent exposures
Abstract
We customize factor attribution for quantitative equity portfolios to better align the measurement of factor returns with how factor tilts were taken on. Specifically, we provide a theoretical argument for including the absolute value of factor exposures in the attribution to account for the impact of a long-only constraint, as well as intuition for including lagged factor exposures in the presence of turnover limits. This may reduce any...
Paper Details
Title
Aligning factor attribution with latent exposures
Published Date
Jul 26, 2016
Journal
Volume
17
Issue
7
Pages
502 - 525
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Notes
History