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Quantitative Finance · Glossaire

Qu'est-ce que « Neutralisation » ?

Definition 6.4 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 6 — Anatomy of a Predictor

Neutralisation is the removal from a predictor, or from a target, of its component along chosen exposures, by taking on each date the residual of a cross-sectional regression on them: industry neutralisation removes industry means, beta neutralisation the component along market beta.

Five-day reversal against five-day returns in a synthetic market whose industries move strongly (30% a year): raw predictor and raw target, raw predictor and residual target, industry-neutral predictor and residual target. Labels are the HAC t-statistics. Data: firm.synthmkt with ind_vol=0.30, seed 1.
Figure 6.2. Five-day reversal against five-day returns in a synthetic market whose industries move strongly (30% a year): raw predictor and raw target, raw predictor and residual target, industry-neutral predictor and residual target. Labels are the HAC tt-statistics. Data: firm.synthmkt with ind_vol=0.30, seed 1.
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