Alternative Equity Factor Portfolio Formation Method
September 11, 2023 - Equity Premium
The conventional approach to measuring equity factor returns is via hedge portfolios that are long (short) the equal-weighted or value-weighted extreme highest (lowest) fifth or tenth of stocks sorted by some firm/stock characteristic. Is there a better way? In their August 2023 paper entitled “Power Sorting”, Anastasios Kagkadis, Harald Lohre, Ingmar Nolte, Sandra Nolte and… Keep Reading