Yes, We’re Going There – Gauging Factor Sensitivities in a Multifactor World
April 24, 2017 at 11:14 AM EDT
For any multifactor investor, it’s critical to really put the microscope on the excess returns of a fund to try and identify the main return drivers. And a good starting point is probably to regress a fund’s excess returns on a number of single factors to determine two things: the right...