Analysis
Explore the factor returns interactively: choose a factor and its construction, and compare all factors over any period. All calculations run in your browser.
How to read the statistics. The benchmark is factor-specific: the average of all loans sorted for the
selected factor, with the same weighting, holding period and lag. Alpha and beta come from a regression of the shown
return on the benchmark return; the information ratio is alpha divided by residual volatility; t-statistics use
ordinary least squares standard errors. The market index (grey line) contains all loans in the investable universe.
Dimson alphas and Newey-West t-statistics are reported in factor_summary.csv. For the low-risk factors
(IVOL, BAB, Quality), the view “Preferred quintile vs. benchmark” is the most informative.