Vivek Viswanathan - Quant Equity in China (S4E10)
Flirting with Models
Why Is the Phama French Three Factor Alpha So Important?
There are too many significant anomalies for the result to be driven purely by luck. Almost every signal is a quality signal, and quality signals tend to be negatively correlated with size and value. A c r show this with respect to size, in their size matters. The idea holds for a variety of quality factors, even ones that come from alternative data sources. If your asa prising anomaly generates more significant alphas than there were significant factor returns in the first place, that is not a successful mor because there is now more significant factors than before. But if you want interactions and non linearties, you need grading boosting and random force. You don't get to ignore those guys.
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