Factor Analysis

Performance evaluation with latent factors

We use the Confounder Adjusted Testing and Estimating (CATE) proposed in our previous paper to estimate the abnormal return (aka 'alpha') of U.S. equity mutual funds. When funds are ranked by the difference between CATE alpha and CAPM alpha, the top …

Confounder adjustment in multiple hypothesis testing

Confounding introduces hidden bias to the statistical inference. We show in modern simultaneous testing, it is possible to correct for unmeasured confounders. Previous methods including SVA, LEAPP, RUV are unified in the same framework in this paper. …