2 papers
math.ST2026
Principal component error in high-dimensional factor models
Alex Bernstein, Lisa R. Goldberg, Nicholas Gunther +4
In a statistical factor model, principal components (or eigenvectors) of a sample covariance matrix serve as estimates of principal directions, the true drivers of co-movement of a…
q-fin.PM2026
A Levered ETF Anomaly Explained
Stephen W. Bianchi, Lisa R. Goldberg
Counterintuitively, the S&P 500 Index rose between January 1, 2022, and December 29, 2023, while exchange-traded funds (ETFs) seeking to deliver 2x and 3x daily returns of the inde…