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Estimating Time-Varying Factor Exposures (Financial Analysts Journal, 2017)

The authors develop a methodology to estimate dynamic factor loadings using cross-sectional risk characteristics. Applying it to a dataset of US-domiciled mutual funds, they distinguish the components of active returns attributable to (1) constant factor exposures (e.g., a tilt to value stocks), (2) time-varying factor exposures, and (3) security ...

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  • Institutional investment professional Savvy Investor 2 years

    Welcome to "Quantitative Methods". Please use this small talk section for brief (140 character) comments relating to quant.

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