Glossary: terms starting with Q

Factor model of market, size, investment and profitability (return on equity), derived from the investment theory of the firm. A rival to the five-factor model.

Source: Hou et al. (2015)

An LPPLS fit whose parameters pass the filters for a bubble: exponent m and log frequency ω within typical ranges, tc close to the last price, enough oscillations in the window and a damping at which the hazard rate does not turn negative.

Source: Demirer et al. (2019)

Methodology: Bubble indicator (LPPLS): methodology

Factor made up of profitable, growing, safe and well-run companies against their opposites. Quality stocks delivered higher risk-adjusted returns than their price suggested.

Source: Asness et al. (2019)

More: The low-volatility anomaly and betting against beta

Losses of quantitative long/short equity strategies in August 2007, especially in the week from August 6. According to the analysis by Khandani and Lo, it was a consequence of market-wide deleveraging and the sudden withdrawal of market-making capital; the unwinding began with financials, the long side of value by book-to-price ratio and the short side of earnings momentum.

Source: Khandani and Lo (2011)

More: Momentum crashes: why momentum collapses rarely but violently, and what volatility scaling and crowding measures show

The value below which a given share of the observations lies. The 5% quantile of monthly returns is the boundary of the worst 5% of months and the basis of historical value at risk.