Factor-Model Alpha Regression on 55 months Dec 2014 - Jun 2019 (out-of-sample)
2.4Alpha (%/mo)interpretable machine learning pipeline
Evaluation results
| Method | Links | ||||
|---|---|---|---|---|---|
| interpretable machine learning pipelineModel=CAPM2026.06 | 2.4 | 7.54 | 0.001 | 0.1 | |
| interpretable machine learning pipelineModel=Fama-French 32026.06 | 2.31 | 7.65 | 0.001 | 0.5 | |
| interpretable machine learning pipelineModel=Carhart 42026.06 | 2.31 | 7.48 | 0.001 | 2.1 |