Size
2 factors in this family
Size
Cumulative returns (overlay)
Members
| Factor | Name | Direction | Sharpe | t-stat | Hit rate | Cumulative | Months |
|---|---|---|---|---|---|---|---|
| Price | Log Price | lower_expected_return | 1.06 | 4.30 | 59.2% | 9.23 | 196 |
| Size | Size | lower_expected_return | 1.39 | 5.61 | 65.3% | 62.21 | 196 |
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