Sharpe's Return-Based Style Analysis is an interesting theory but flawed in practice when working with long-short funds or funds that are changing strategies over shorter periods of time due to the ...
For a particular stock, what's the simplest way to calculate betas for the Fama-French factors SMB and HML?
I'm trying to estimate factor loadings on portfolios over time for portfolios that are traded pretty frequently. I have a sense that several portfolios are loading on the Fama-French HML factor ...
I'm researching an equity multi factor model. It contains three factors, say A, B & C. The factors are weighted as such, ...