Introduces cap-axis integral diagnostic revealing zero-alpha violations on cap-rank subspaces in factor models using 1967-2024 CRSP data.
An augmented q-factor model with expected growth.Review of Finance, 25(1):1–41, 2021
4 Pith papers cite this work. Polarity classification is still indexing.
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Decomposing the market into body and tail reveals q5 produces systematic offsetting leg alphas at daily frequency despite strongest spanning, a pattern removed by random splits and attenuated monthly.
Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.
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Benchmarking Deep Time Series Models for Equity Portfolios
Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.