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김재현
2026-08-02 05:15:36 +09:00
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research/original/results_kr/price_factor_summary.csv
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factor,bucket,observations,mean_fwd12m,median_fwd12m,positive_rate,loss_gt_20_rate
mom12_1,preferred_tercile,874,0.32387300753079057,0.20242994039354578,0.7391304347826086,0.10983981693363844
mom12_1,opposite_tercile,519,0.42464731050951354,0.1594236579130841,0.7302504816955684,0.08477842003853564
mom12_1,preferred_minus_opposite,519,-0.10077430297872297,0.04300628248046168,,
mom6_1,preferred_tercile,904,0.33155396665287856,0.18977767692799152,0.7123893805309734,0.12278761061946902
mom6_1,opposite_tercile,537,0.3700245000830613,0.1640926640926641,0.707635009310987,0.10986964618249534
mom6_1,preferred_minus_opposite,537,-0.03847053343018275,0.025685012835327425,,
vol63,preferred_tercile,550,0.13883071070567335,0.12215983587011692,0.730909090909091,0.07090909090909091
vol63,opposite_tercile,926,0.45110012944579264,0.22311068692741454,0.6922246220302376,0.15334773218142547
vol63,preferred_minus_opposite,550,-0.31226941874011926,-0.10095085105729762,,
drawdown252,preferred_tercile,906,0.25751171686318947,0.15399048507301294,0.7317880794701986,0.10264900662251655
drawdown252,opposite_tercile,537,0.4705274237016531,0.21757225433526006,0.702048417132216,0.1191806331471136
drawdown252,preferred_minus_opposite,537,-0.21301570683846366,-0.06358176926224712,,
1 factor bucket observations mean_fwd12m median_fwd12m positive_rate loss_gt_20_rate
2 mom12_1 preferred_tercile 874 0.32387300753079057 0.20242994039354578 0.7391304347826086 0.10983981693363844
3 mom12_1 opposite_tercile 519 0.42464731050951354 0.1594236579130841 0.7302504816955684 0.08477842003853564
4 mom12_1 preferred_minus_opposite 519 -0.10077430297872297 0.04300628248046168
5 mom6_1 preferred_tercile 904 0.33155396665287856 0.18977767692799152 0.7123893805309734 0.12278761061946902
6 mom6_1 opposite_tercile 537 0.3700245000830613 0.1640926640926641 0.707635009310987 0.10986964618249534
7 mom6_1 preferred_minus_opposite 537 -0.03847053343018275 0.025685012835327425
8 vol63 preferred_tercile 550 0.13883071070567335 0.12215983587011692 0.730909090909091 0.07090909090909091
9 vol63 opposite_tercile 926 0.45110012944579264 0.22311068692741454 0.6922246220302376 0.15334773218142547
10 vol63 preferred_minus_opposite 550 -0.31226941874011926 -0.10095085105729762
11 drawdown252 preferred_tercile 906 0.25751171686318947 0.15399048507301294 0.7317880794701986 0.10264900662251655
12 drawdown252 opposite_tercile 537 0.4705274237016531 0.21757225433526006 0.702048417132216 0.1191806331471136
13 drawdown252 preferred_minus_opposite 537 -0.21301570683846366 -0.06358176926224712