October 2011
Beginner
576 pages
16h 32m
English
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KEY POINTS
- A factor is a common characteristic among a group of assets. Factors should be founded on sound economic intuition, market insight, or an anomaly.
- Factors fall into three categories—macroeconomic, cross-sectional, and statistical factors.
- The main steps in the development of a factor-based trading strategy are (1) defining a trading idea or investment strategy, (2) developing factors, (3) acquiring and processing data, (4) analyzing the factors, (5) building the strategy, (6) evaluating the strategy, (7) backtesting the strategy, and (8) implementing the strategy.
- Most trading strategies are exposed to risk. The main sources of risk are fundamental risk, noise trader risk, horizon risk, model risk, implementation risk, and liquidity risk.
- Factors are often derived from company characteristics and metrics, and market data. Examples of company characteristics and metrics include valuation ratios, operating efficiency ratios, profitability ratios, and solvency ratios. Example of useful market data include analysts forecasts, prices and returns, and trading volume.
EXHIBIT 11.5 Histograms of the Cross-Sectional Values for the Share Repurchase Factor
- High-quality data are critical to the success of a trading strategy. Model output is only as good as the data used to calibrate it.
- Some common data problems and biases are backfilling and restatements of data, missing data, ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.