Pick a dataset, a sort, a return definition, a universe and a weighting. The table
below ranks every factor in that slice selection, grouped by factor cluster.
Selected factors
Cumulative performance
tick factors in the table below
Sample
All factors
Alpha is the intercept from the one-factor bond CAPM (CAPMB) of
Dickerson,
Mueller and Robotti (2023), the factor regressed on the market benchmark matched to
its return definition. Both t-statistics use Newey-West standard errors with lags
= floor(T0.25), where T is the number of months in the series.
Compare your set of chosen factors, across datasets, sorts, return definitions,
universes and weightings.
Add this factor across →
Cumulative performance
Sample
Statistics
Build your factor model, and compare it to established models in the literature.
Squared Sharpe ratio statistics and model comparison tests from Barillas, Kan, Robotti
and Shanken (2019) and Dickerson, Mueller and Robotti (2023) are estimated, and
mean-variance efficient frontiers are constructed.