Replacing linear factors with a non-linear, characteristic approach in quant equity
Flirting with Models
The Fama French Three Factor Alpha Matters
Hoshwane Jang: Almost every signal is a quality signal. 44 out of 84 anomalies deliver a significant Fama French three factor alpha globally. That's too many significant anomalies for the result to be driven purely by luck. AQR showed this with respect to size and their size matters. The idea holds for a variety of quality factors even ones that come from alternative data sources.
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