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Quantitative Finance · Glossário

O que é Residual return?

Definition 6.2 Research Craft: Predictors, Backtests, Measurement, Portfolios · Capítulo 6 — Anatomy of a Predictor

The residual return of a security over a period is its return minus the part explained by chosen factor exposures, estimated on each date by a cross-sectional regression of the returns on the exposures: what is left after the market, the industries or the styles.

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