A body-tail decomposition of the market portfolio shows the q5 factor model produces offsetting leg alphas unlike other models, despite good spanning performance.
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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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Anatomy of the Market: A Body-Tail Test of Factor Models
A body-tail decomposition of the market portfolio shows the q5 factor model produces offsetting leg alphas unlike other models, despite good spanning performance.
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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.