AlternativeSoft released a LASSO factor model that picks the few factors explaining a fund's returns from a published library of 25, up from 16 in its previous desktop model. It covers alternative risk premia, equity styles, credit, rates, commodities, currency and managed futures, and reports adjusted R squared, annualized alpha and tracking error. It is available now in FluidView Desktop, with a cloud launch set for 15 November.
Our readAllocators testing whether a manager's return is skill or factor exposure get a fully listed factor set and significance statistics they can document for an investment committee or model review.