All Questions
Tagged with excel factor-models
3 questions
2
votes
1
answer
1k
views
Calculating fund alpha using Fama-French 3 factor model?
My dissertation requires me to evaluate fund performance, and for that I need to find the alpha for each fund. I have 173 funds total. I have all the inputs for the 3-factor model, and I realise ...
- 21
4
votes
1
answer
470
views
Holdings based style analysis
This question is not very technical.
I have a file with holdings (both for the fund and the benchmark) of a number of securities and need to do a style allocation analysis.
For these securities, I ...
- 41
6
votes
2
answers
13k
views
Could someone teach me how to construct the portfolios by compute (like using R, Excel or Eviews)
Recently, I am doing my dissertation that covers asset pricing theory. The empirical test of Fama 3 factors model is an important part of this dissertation. Please let me review the fama model.
Fama ...
