There are different ways to estimate it, depending on the factor. Simplest is factors like industry or country exposure where the entries can be 0/1 depending on whether the stock is in that industry/country or not.
A few things that I didn't cover yesterday when I talked about equity factor models (it's a huge area and it's impossible to more than scrape the surface)
A few people in the DMs asking about equity factor models so here's a short explainer.
— macrocephalopod (@macrocephalopod) February 2, 2021
Let's make it a concrete problem -- you are the risk manager at a big multi-manager hedge fund with ~100 sub-PMs each of whom has a portfolio of 10-50 stocks, long and short.
There are different ways to estimate it, depending on the factor. Simplest is factors like industry or country exposure where the entries can be 0/1 depending on whether the stock is in that industry/country or not.
Now you have a set of linear equations on each day, and you can solve the linear equations to get the vector of factor returns for each day using the normal equation - pic.twitter.com/YwVkUzSM69
— macrocephalopod (@macrocephalopod) February 2, 2021
It varies depending on the application. The simplest models would have just a few, maybe the market factor plus a couple of others that you care about (think about Fama-French 3 factor or 5 factor model) but it will normally be more.
Yes -- you hear a lot about the well known ones like value, momentum quality etc but there are hundreds of others which are widely known in academia and industry and thousands of proprietary in-house factors.
More from Society
I’ll address every nonsense argument and lie used to defend the suicidal gender ideology Thats in vogue today:
3:45 - “So what if you don’t have gametes?”
It’s called a birth defect. You’re still male or female.
~5:00 *nonsense trying to say the sexes of seahorses could be swapped coz male carry the eggs*
male doesn’t produce eggs, he produces the sperm. He’s still the male. If I impregnated a chick then carried the amniotic sac in a backpack ‘til the baby was done I’ll still be male🤦♂️
5:10 - we could say there’s 4 sexes of fruit fly cause there’s 3 producers of different sized sperm
No. They’re still producing sperm. They’re males. This is idiotic. Is this whole video like this? (Probably. 99% likely. Abandon hope.)
~6:10 - hermaphroditism and sequential hermaphroditism exists therefore....
No. Some animals being hermaphrodites, which is meaningless w/o the existence of binary sex to contrast it to, still doesn’t make gender ideology or transgenderism valid.
Intersex ≠ transgenderism 🙄
6:20 - bilateral gynandromorphism is a disorder in some species (not in humans). Has nothing to do w/ “gender” or transgenderism.
Ova-testes in humans are also a disorder, usually found in those w/ the karyotype disorders that you ppl also try to appropriate (extra X’s/Y’s).
3:45 - “So what if you don’t have gametes?”
It’s called a birth defect. You’re still male or female.
*one horrible doctor does a horrible thing* "oh I guess gender is horrible" miss me with that transphobic nonsense
— Goob \u26a1 (@Goob999) February 17, 2021
Here's a video to even disprove your take on sex (not gender) and the binary:https://t.co/bpmqqJWoJX
~5:00 *nonsense trying to say the sexes of seahorses could be swapped coz male carry the eggs*
male doesn’t produce eggs, he produces the sperm. He’s still the male. If I impregnated a chick then carried the amniotic sac in a backpack ‘til the baby was done I’ll still be male🤦♂️
5:10 - we could say there’s 4 sexes of fruit fly cause there’s 3 producers of different sized sperm
No. They’re still producing sperm. They’re males. This is idiotic. Is this whole video like this? (Probably. 99% likely. Abandon hope.)
~6:10 - hermaphroditism and sequential hermaphroditism exists therefore....
No. Some animals being hermaphrodites, which is meaningless w/o the existence of binary sex to contrast it to, still doesn’t make gender ideology or transgenderism valid.
Intersex ≠ transgenderism 🙄
6:20 - bilateral gynandromorphism is a disorder in some species (not in humans). Has nothing to do w/ “gender” or transgenderism.
Ova-testes in humans are also a disorder, usually found in those w/ the karyotype disorders that you ppl also try to appropriate (extra X’s/Y’s).
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RT-PCR corona (test) scam
Symptomatic people are tested for one and only one respiratory virus. This means that other acute respiratory infections are reclassified as
2/12
It is tested exquisitely with a hypersensitive non-specific RT-PCR test / Ct >35 (>30 is nonsense, >35 is madness), without considering Ct and clinical context. This means that more acute respiratory infections are reclassified as
3/12
The Drosten RT-PCR test is fabricated in a way that each country and laboratory perform it differently at too high Ct and that the high rate of false positives increases massively due to cross-reaction with other (corona) viruses in the "flu
4/12
Even asymptomatic, previously called healthy, people are tested (en masse) in this way, although there is no epidemiologically relevant asymptomatic transmission. This means that even healthy people are declared as COVID
5/12
Deaths within 28 days after a positive RT-PCR test from whatever cause are designated as deaths WITH COVID. This means that other causes of death are reclassified as
RT-PCR corona (test) scam
Symptomatic people are tested for one and only one respiratory virus. This means that other acute respiratory infections are reclassified as
4/10
— Dr. Thomas Binder, MD (@Thomas_Binder) October 22, 2020
...indication, first of all that testing for a (single) respiratory virus is done outside of surveillance systems or need for specific therapy, but even so the lack of consideration of Ct, symptoms and clinical findings when interpreting its result. https://t.co/gHH6kwRdZG
2/12
It is tested exquisitely with a hypersensitive non-specific RT-PCR test / Ct >35 (>30 is nonsense, >35 is madness), without considering Ct and clinical context. This means that more acute respiratory infections are reclassified as
6/10
— Dr. Thomas Binder, MD (@Thomas_Binder) October 22, 2020
The neither validated nor standardised hypersensitive RT-PCR test / Ct 35-45 for SARS-CoV-2 is abused to mislabel (also) other diseases, especially influenza, as COVID-19.https://t.co/AkFIfTCTkS
3/12
The Drosten RT-PCR test is fabricated in a way that each country and laboratory perform it differently at too high Ct and that the high rate of false positives increases massively due to cross-reaction with other (corona) viruses in the "flu
External peer review of the RTPCR test to detect SARS-CoV-2 reveals 10 major scientific flaws at the molecular and methodological level: consequences for false positive results.https://t.co/mbNY8bdw1p pic.twitter.com/OQBD4grMth
— Dr. Thomas Binder, MD (@Thomas_Binder) November 29, 2020
4/12
Even asymptomatic, previously called healthy, people are tested (en masse) in this way, although there is no epidemiologically relevant asymptomatic transmission. This means that even healthy people are declared as COVID
Thread web\u2b06\ufe0f\u2b07\ufe0f
— Dr. Thomas Binder, MD (@Thomas_Binder) December 16, 2020
The fabrication of the "asymptomatic (super) spreader" is the coronation of the total nons(ci)ense in the belief system of #CoronasWitnesses.
Asymptomatic transmission 0.7%; 95% CI 0%-4.9% - could well be 0%!https://t.co/VeZTzxXfvT
5/12
Deaths within 28 days after a positive RT-PCR test from whatever cause are designated as deaths WITH COVID. This means that other causes of death are reclassified as
8/8
— Dr. Thomas Binder, MD (@Thomas_Binder) March 24, 2020
By the way, who the f*** created this obviously (almost) worldwide definition of #CoronaDeath?
This is not only medical malpractice, this is utterly insane!https://t.co/FFsTx4L2mw
