# Notes on: Alberg, J., & Lipton, Z. C. (2017): Improving Factor-Based Quantitative Investing By Forecasting Company Fundamentals

## Overview

- Certain key factors which can be computed from the reported data are known to out-perform the market average, known as
*fundamentals*
- Using DNNs they accurately predict these key factors and thus beat the market average when running backtesting

## Notation

- is the
**expected portfolio return** (i.e. the average return)
- is the
**risk-free return** , i.e. a benchmark investment which for which there is no risk, e.g. *interest rates*
- is the
**std. of the portfolio**
**LFM** = Lookahead Factor Models
**book value** is the value of an asset according to its balance sheet account balance

## Factors

**Book-to-market**: book value normalized by market capitalization
**EBIT/EV**: operating income normalized by the enterprise value