Quantitative and fundamental money managers alike seek to find and construct portfolios of undervalued securities in the hope of delivering positive alpha in an efficient manner. Most understand that a given financial signal associated with specific stocks is often variably important. A variety of considerations may dictate how a specific factor should differentially influence the returns across stocks: 1) the nature of the mandate and investment guidelines, and 2) evidence that some factors work well (or poorly) depending on certain other characteristics of the stock.
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