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Here we go


"On Dec. 29, after receiving the budget, Wren instructed Chafian... to hold off on printing event-related slogans “until we decide what the messaging is and we have no clue on timing because it all depends on the votes that day so we won’t know timing for a few more days.”

"The “timing” appears to be a reference to Congress’ Jan. 6 vote to certify the election results." Well that's going to get some attention by law enforcement

"Chafian told ProPublica that she herself had been directed by [Alex] Jones to Wren, who, she was told, had ties to a wealthy donor who wanted to support the January affair. Chafian said the donor is a woman but wouldn’t disclose her name, citing a confidentiality agreement."

"A guidance memo provided to VIP attendees of the Jan. 6 rally further establishes Wren’s centrality to the event. She is listed, along with three other people, as one of the primary points of contact for the demonstration."
A few things that I didn't cover yesterday when I talked about equity factor models (it's a huge area and it's impossible to more than scrape the surface)


1. How do you get the exposure matrix Xt?

There are different ways to estimate it, depending on the factor. Simplest is factors like industry or country exposure where the entries can be 0/1 depending on whether the stock is in that industry/country or not.

Some exposures can be estimated by linear regression on historical data, if you already have a time series which approximates the factor returns. E.g. exposure to the market factor (beta) is estimated this way, by regressing each stock against the S&P 500 (or some other index)

This also works for "macro" factors e.g. you can estimate exposures for each stock to commodity prices, exchange rates, interest rates, GDP or inflation surprises etc by regressing stock returns against the relevant historical time series.

Finally you can have exposures which are heuristically derived from other observable data about the stock, e.g. accounting data, analyst reports, past price movements etc. In this case you find some metric which measures the factor you care about (e.g. price to earnings) and