1. Determine the number of factor groups M. For example, if M 4, we might have...
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1. Determine the number of factor groups M. For example, if M 4, we might have a valuation composite, a profitability composite, a financial soundness composite, and a technical composite. These four composites or groups represent the four main themes that we believe predict stock returns in our investment universe.
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Related Book For
Quantitative Equity Portfolio Management
ISBN: 9780071459396
1st Edition
Authors: Ludwig B Chincarini, Daehwan Kim
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