The factor-models tag has no wiki summary.
3
votes
0answers
94 views
Quant/Stat Factor Performance Website/Distribution?
Does anyone know of a decent quant/stat factor website, distribution(public or private) or publication that tracks performance of "many" of traditional quant/stat factors? By that I mean would show ...
7
votes
3answers
325 views
Multi Factor Credit Risk Models
I am working in the area of building credit risk models. Upto this point, the model I have been focused on using the Asymptotic Single Factor Model, more popularly known as Vasicek Single Factor ...
1
vote
0answers
44 views
Industry factors without GICS
I'm working through the Quantitative Equity Portfolio Management book by Chincarini and Kim.
I'd like to build a basic industry-based fundamental factor model. As this is a pet project for ...
1
vote
0answers
128 views
How to use financial ratios in a factor model?
I am trying to understand how factor loadings in a general factor model are computed. For simplicity sake, lets assume a simple model:
$$
R = B \times F + \epsilon
$$
$$
R = N \times 1
$$
$$
B = N ...
3
votes
2answers
174 views
Why use market capitalization weighted index over PCA?
Why is it so popular to use market capitalization weighted indices instead of taking the first principle component that explains the most variation of the constituents? I haven't yet seen an academic ...
3
votes
0answers
81 views
Estimating two normal random numbers with one equation
Subtitle: Estimating the correlation of the shocks driving two commodities in
two multi-factor models
I am fitting two 2-factor models to electricity and gas futures, respectively.
In order to ...
0
votes
1answer
126 views
Missing factor in the factor model
I am developing a factor model to predict monthly returns. One of the factors alone accounts for an R squared of 0.3 to 0.4 for many single periods that has surprised me.
However, for some periods ...
2
votes
1answer
94 views
Combining covariances?
Consider an economy with assets with return processes $A$, $B$, $C$, $D$. Consider a weighted index with return process $I=aA + bB + cC + dD$ where $a,b,c,d$ are coefficients, and $a+b+c+d = 1$.
...
1
vote
0answers
50 views
Neglect the positive values in negative interest rates modelling?
The magnitude of the negative interested rate should vary correlated with the increase in fixed assets prices and with cross-currency basis spreads.
Could their volatility / correlation ...
8
votes
1answer
386 views
Meta-view of different time-series similarity measures?
While I spend most of my StackExchange time on MathematicaSE, I'm in the business and follow the questions and answers on this site with great interest.
Recently questions like the following (and ...
7
votes
4answers
1k views
How to perform risk factor calculation?
I am studying Arbitrage Pricing Theory (APT) and I have a question about calculating factor exposures.
Assume:
\begin{equation}
r = \beta_1r_1 + \beta_2r_2 + ... + \beta_kr_k + r_e
\end{equation}
...
6
votes
1answer
356 views
What are the steps to perform properly a risk factor analysis on a portfolio?
I have been asked to perform a factor analysis on a given portfolio, assume it's a Swiss portfolio in CHF.
First step, I chose which factors I would like to see in my analysis.
The first factors I ...
9
votes
3answers
898 views
Why do expected return models and risk models use different factors?
This is a question responding to weekly topic challenge. I happen to see an interesting question from SYMMYS by Michael Kapler.
I always approached expected return and risk modeling as separate
...
16
votes
5answers
1k views
Most successful investors using academic-based framework?
What are the most famous/best performing absolute-return funds employing approaches based on mainstream finance theory (i.e., theory presented in Journal of Finance, AER, Econometrica, using typically ...
8
votes
1answer
306 views
Has any research used Bayesian networks to estimate risk factor betas?
Is there any published research on estimating the beta of a security with respect to one or more risk factors via Bayesian networks?
I'd like to see if this is a promising angle of research.
8
votes
1answer
1k views
Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
There are many approaches to estimating fundamental factor equity models. I would like to focus on two traditional methods:
The time-series regression approach of Fama and French. Factors are ...
12
votes
2answers
384 views
Variable Selection in factor models
Let's say you have a dependent variable and many independent variables. What are the preferred metrics for sorting and selecting variables based on explanatory power? Let's say you are not concerned ...
6
votes
2answers
312 views
The T+H Problem in Factor model forecasts
Suppose we train on M individuals consisting of T observations (i.e. TxM design matrix). The dependent variable is one-year return for each security (H = horizon of one year). In a factor model ...
