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FUQUA FIVE

Explore model factors, results, and correlations to optimize your portfolio. Analyze returns with varying sizes and rebalancing periods. Enhance your strategy with dynamic weights and capture overall decile return. Discover market impact considerations.

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FUQUA FIVE

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  1. FUQUA FIVE Steve Bartlett Adrian Campelo Steve Foertsch Joe Kippels Carter Vance

  2. Agenda • Overview of model factors • Model results by year • Correlation within factors and S&P • Model results by year (w/trading costs) • Varying portfolio size & rebalancing period • For further review

  3. Scoring System

  4. EW Returns by Year and Decilewith no trading costs

  5. EW Annualized Returns for 5 factor Model with Dynamic Weights

  6. Correlations among factors

  7. EW Returns by Year and Decilewith trading costs

  8. Varying Portfolio Size & Rebalancing Period Average Annual Returns (1st Fractile - Nth Fractile)

  9. For Further Analysis • Factor migration • Best positioning in an overall portfolio • Further explore minimum diversification requirements to capture overall decile return • Market impact and spread considerations

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