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Does the code have any factor investing features at all right now? I was just reading about alpha lens, another project focused on performance attribution of fa
by iav 6y ago
Does the code have any factor investing features at all right now? I was just reading about alpha lens, another project focused on performance attribution of factors. To avoid reinventing the wheel, are there any other libraries that can be leveraged to add factors - so portfolios are constructed to go long and/or short a certain factor like sustainability or etc.
[1] https://github.com/quantopian/alphalens https://github.com/quantopian/alphalens
- hydershykh 6y agoI will try to modify it such that it's easy to add factors. Thanks for sharing this.