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smart beta tilts?

The new smart beta questionnaire lists these beta tilts:

Momentum
Mean-reversion
Value
Volatility
Growth
Size
Quality

What are the generally accepted technical definitions of the tilts? Or at least how is Q defining the tilts? Are there corresponding built-in Q factors? Etc.

1 response

This may seem nit-picky, but I think there is benefit in being precise wherever possible. For example, if when filling out the questionnaire, one checks the "Momentum" box, there ought to be a way to measure the momentum-ness, or the word "Momentum" could just as well be replaced with "Pixie dust."

The Q risk model is described here:

https://www.quantopian.com/papers/risk

Therein, we have definitions for:

Momentum
Size
Value
Volatility

Presumably these are the definitions used in the smart beta questionnaire.

We still need definitions for:

Mean-reversion (same as short-term reversal in the risk model?)
Growth
Quality