Invest Like the Best with Patrick O'Shaughnessy cover image

Leigh Drogen - Sink or Swim--How to Combine Quant and Traditional Asset Management Techniques - Invest Like the Best, EP.48]

Invest Like the Best with Patrick O'Shaughnessy

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Investing in Factor Models

The quant is going to build a factor model that they can put into a system. They're going to build not just one factor model, but maybe ten of them. And the idea is that when the p m goes to look at all their endless expectations, kind of sorded by the largest kind of outlier expectations, they're also going to be able to see what do the factor model scores say? This is where they add alpha. P m shouldn't be trying to add alpha in the what stock should we pick? But how do i run a better process to incorporate all this different data and make everything work together?

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