4 ms·
Yes. The fund I work for has a very successful track record and we take all PCA (on factors) with a huge grain of salt. Also any strategy that has more than a
by azmenthe 14y ago
Yes. The fund I work for has a very successful track record and we take all PCA (on factors) with a huge grain of salt.
Also any strategy that has more than a 20% thesis alignment on PCA (on factors!) is most likely laughed at.