Multi Factor Investing with Rodrigo Petricioli, MFE
The Quant / Financial Engineering Podcast
00:00
Is There a Sue Out There?
The problem is that you're using historical data, right? And you can see yourself on what has happened in the past. You could literally build your own factor model if you wanted to with other components. There's one big research paper that helped me all the way through this. It's called the Factor Sue and it basically tells us that there are so many factors out there that we don't know which ones are good or bad.
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