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Old 11-09-2005, 01:45 AM
Sniper Sniper is offline
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Join Date: Jun 2005
Posts: 704
Default Re: Marketocracy Portfolio Update

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The selection process is an expected return factor model, where the expected return is relative to the universe of stocks from which the factor measures and sensitivities are derived. Multivariate regression is used to disentangle the interrelationships among factors, allowing for consideration of the *pure* expected return to each particular factor. Each stock's sensitivity to each factor is estimated, normalized and expressed as *B* or Beta. A particular stock's expected return is the sum of its betas multiplied by their respective expected return factor values.

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You would have been better served by simply saying you weren't willing to answer the question!!

FWIW, how big of a secret could it possibly be to mention some of the factors you use for your analysis?

BTW, I will take a look at the stocks and give you some thoughts, after I review them. (Thanks again for posting them)
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