Factor Decay in Emerging Markets
Traditional factor models show significant decay when applied to emerging markets. We analyze the interaction between classical factors and market microstructure in Asian equity markets.
Research
Most quantitative strategies are optimized for historical performance but fail under regime change. This paper presents a framework for measuring and maximizing our proprietary momentum strategy robustness across diverse market conditions — not just the most recent year.
Indian equity markets exhibit persistent cross‑sectional dispersion that conventional cap‑weighted benchmarks fail to fully exploit. Pragma Quant’s systematic factor rotation strategy, applied to a diversified basket of 10 high‑conviction stocks.
Traditional factor models show significant decay when applied to emerging markets. We analyze the interaction between classical factors and market microstructure in Asian equity markets.
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