THE first live performances at Theatre Royal Winchester since March took place earlier this month. The Jewry Street theatre hosted the first previews of its socially distanced Christmas Show, Four Dames in Search of a Panto. Four Dames in Search of a Panto features panto set pieces, including the much loved Twelve Days of Christmas,, hilarious gags, original songs and familiar faces to Winchester audiences. The panto-styled show has been created by the same team behind the theatre’s hugely successful pantomimes, including James Barry who has written and directed the production, with music by composer Simon Slater. The cast of four have all been part of the Winchester pantomime team before: Julian Eardley returns as one of the Dames – his 11th outing as a Dame in the city.
This is the bread-and-butter for quant funds. AQR has pioneered this space the most.
Multifactor models are models designed to extract cross-sectional risk premia in markets. Put simply you look at all the stocks in a market. Rank them based on some metric(s). Long the top decile. Short the bottom decile. If that market-neutral portfolio outperforms on a consistent basis then well done! You have found a risk premium.
Classical and well known risk premia include:
Momentum – stocks that moon continue to moon.
Size – small caps tend to outperform large caps.
Value – high-value stocks tend to outperform low-value stocks.