Uncentive Research Notes & Markets

Non-Traditional Long Only Factor Returns

As a follow up to the factors we explored previously, I wanted to share some very high level analysis I did on various implementations of Long Only Factor portfolios using non-traditional return drivers, such as… Return Driver Category Core Idea How it is measured Ideal Values are… Hi... Read more

Measuring Factor Exposure

In the first installment of this series, we introduced the concept of risk factors in the realm of finance and investing, and explored their historical backgrounds. In the second post, we examined the specific “traditional” factor exposures—such as Size and Value—individually, illustrating their return patterns. In this article, our focus will s... Read more

Exploring Traditional Factor Portfolios

In the first post in this series, we introduced the concept of factor investing and talked about the origin of the concept. Building upon that foundation, this article will direct our focus towards the “traditional” collection of investment factors that have remained prominent throughout the existence of this concept. The code discussed within t... Read more

An Introduction to Factor Investing

Factor Portfolios, also known as Style Portfolios, offer an alternative approach to investment decision-making. They originated from the Fama French 3-Factor Model and were later extended to the 4 and 5-Factor Models. These portfolios, which are often market-neutral, aim to isolate specific themes, styles, or “anomalies” such as “Small-Sized Com... Read more

Getting started with Git

Git is a version control system that allows developers to track changes to their code-base and collaborate with others on software projects. Using git can greatly increase your productivity as a developer. It allows you to track and manage your code, collaborate with others, and stay organised. One of the main benefits of using git is that it a... Read more