Here’s a factor model with the no-arbitrage constraint. The bars are now factor betas. The average rolling window short bias beta is only 6%, compared to –183% for market neutral and 64% for fixed income arb. These factors are not statistically significant.

The style analysis non-negativity constraints are strongly rejected statistically. But most of the betas have low precision. The small cap beta has the highest significance with an all-history t-statistic of 3.44.

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