Don't Judge a Book by its Cover: Evidence of Returns Based Factor Exposures of Multifactor Strategies in India
“These findings suggest that many portfolios are designed to maximise alpha through specific asset exposures rather than factor-based returns.”
AssetEquities
StrategyFactor investing
TechniqueLinear factor model
GeographyIndia
Also stated: Alpha
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
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