Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
Digesting anomalies: An investment approach.The Review of Financial Studies, 28(3):650–705, 2015
3 Pith papers cite this work. Polarity classification is still indexing.
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Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.
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Which Portfolios? The Construction Dependence of Factor Model Performance
Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
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Benchmarking Deep Time Series Models for Equity Portfolios
Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.