Recent writing
- Feb 10 Long-Only Factor Portfolios: Beyond Fama-French
Backtesting 13 non-traditional return drivers as long-only top-10 portfolios in the S&P 500. Low Vol and Asset Turnover stand out on a risk-adjusted basis.
- Dec 17 Measuring Factor Exposure
How to use factor regressions to measure a stock's or portfolio's exposure to systematic risk premia — and why a hedge fund manager and an ETF provider care about the same regression for opposite reasons.
- Aug 27 Exploring Traditional Factor Portfolios
Walking through Size, Value, Momentum, Profitability, and Investment factor returns using data from Ken French's library — with code, charts, and observations on crisis-period behaviour.
- Feb 24 Factor Investing: From CAPM to the Factor Zoo
The Fama-French factor models did something unusual for academic finance: they became genuinely useful to practitioners. A walkthrough of the models, the data, and the practical question of how to use factor exposures.
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