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Vivek Viswanathan - Quant Equity in China (S4E10)

Flirting with Models

00:00

Compressing the Factor Space Improves or Hurts Predictability

There's this idea of a factor yo brought up by john cochran, that there're too many factors and there's a mystery here. What risk is conservative accounting approxy for? What about earnings worth? What about momentum? No one really seems to know. So as it turns out, you really want those a hundred plus signals in your expected return.

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