Risk

10 factors in this family

Cumulative returns (overlay)

Members

Factor	Name	Direction	Sharpe	t-stat	Hit rate	Cumulative	Months
Beta	CAPM Beta	higher_expected_return	-0.07	-0.28	46.7%	0.73	184
BetaFP	Frazzini-Pedersen Beta	lower_expected_return	0.03	0.13	54.9%	0.92	184
BetaTailRisk	Tail Risk Beta	lower_expected_return	-0.04	-0.14	49.5%	0.89	184
Coskewness	Coskewness	lower_expected_return	0.56	2.19	55.4%	2.48	184
IdioSkew	Idiosyncratic Skewness	lower_expected_return	0.70	2.80	61.1%	2.89	190
IdioVol	Idiosyncratic Volatility Proxy	lower_expected_return	0.54	2.18	59.6%	3.71	193
IdioVolAHT	Idiosyncratic Vol (Annual)	lower_expected_return	0.29	1.13	55.4%	1.77	184
MaxRet	Maximum Daily Return	lower_expected_return	0.89	3.60	62.6%	5.37	195
ReturnSkew	Return Skewness	lower_expected_return	0.86	3.47	62.6%	2.74	195
VolSD	Return Volatility	lower_expected_return	0.43	1.72	55.4%	2.70	193

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