QSYS
v1.0
Quant Studio
Factor Exposure
Portfolio factor exposure analysis — momentum, volatility, correlation, skew, liquidity
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Factor Exposure
Factor Exposure
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📚 Evidence — papers behind this tool
→ Moskowitz, Ooi & Pedersen (2012) — Time Series Momentum
→ Fama & French (2015) — A Five-Factor Asset Pricing Model
→ Frazzini & Pedersen (2014) — Betting Against Beta
→ Engle (2002) — Dynamic Conditional Correlation (DCC-GARCH)
→ Whaley (2000) — The Investor Fear Gauge (VIX regimes)
Universe
Weights (ticker:weight)
Compute Factors
Crisis window (stressed ENB)
— none —
2008 GFC
2020 COVID
2022 Bond crash