This repository contains the code and analysis for the research project titled "Can We Profit from ETF and Fund Returns? A Bayesian Model Scan with Machine Learning Techniques". The study explores the potential for extracting trading signals from investment vehicle returns using Bayesian model scanning and various dimension reduction techniques.
The research focuses on whether ETFs and mutual funds contain distinct information structures that can be exploited for better factor construction. By leveraging Bayesian methods and machine learning, we seek to uncover actionable factors that traditional models might overlook.