Improving Factor-Based Quantitative Investing by Forecasting Company Fundamentals

Understand

On a periodic basis, publicly traded companies are required to report fundamentals: financial data such as revenue, operating income, debt, among others.

• These data points provide some insight into the financial health of a company.
• Academic research has identified some factors, i.e.
• computed features of the reported data, that are known through retrospective analysis to outperform the market average.