9 – M4 L1A 09 Overview For Standardizing A Factor V3

So, let’s revisit the steps we take to convert factor values into portfolio weights in a dollar neutral portfolio with a leverage ratio of one. To make the factor represent weights of a dollar neutral portfolio, de-mean the vector of values. Do this by subtracting the average from each value. To make the factor represent a portfolio with leverage ratio of one, re-scale the vector of values so that the sum of absolute values equals one. All right, I’ve talked enough. Let’s give you a chance to practice coding up a factor.

%d 블로거가 이것을 좋아합니다: