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Quantitative Finance · Begrippenlijst

Wat is Style factor, industry factor?

Ook bekend als: industry factor · style factor

Definition 24.2 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 24 — Risk Models

An industry factor has as exposure a stock’s membership of an industry; a style factor has as exposure a standardised characteristic (size, value, momentum, an estimated beta), cap-weighted to mean zero and scaled to unit cross-sectional standard deviation.

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