# Questions tagged [factor-loading]

The tag has no usage guidance.

8 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
0answers
165 views

### Interplay of statistical factors (PCA) and market factors (value, momentum, low vol, …)

Is there any research done on the interplay between statistical factors (as a result of principle component analysis PCA) and the market factors (especially value, size, low vol, momentum, quality)? ...
0answers
124 views

### Estimating factor returns with linearly dependent loadings

Given an $n\times 1$ vector of asset returns $r$, and a $n\times k$ matrix of factor loadings $X$, we can express the asset returns in terms of as-yet-unknown factors $f$ using $$r = Xf + \epsilon$$...
0answers
76 views

### explanation of factor tilts that uses mathematical notation

Can anyone provide a definition of "factor tilt" that uses mathematical notation? Perhaps factor tilts are based on factor regression models. Let's say that our returns vector $\mathbf{y}_t$ can be ...
0answers
386 views

### kalman filter for a multifactor model in R

I am trying to set up a time varying factor model for the purpose of return decomposition via kalman filter. Following this example and slightly modifying it so as to accommodate for more than one ...
0answers
252 views

### Fama-French Factors for ETFs and MFs

Is there a public source or a paid service that provides FF3 (or FF4 = "Carhart") factor loadings for US traded ETFs and Mutual Funds? Something that is regularly updated and that provides comparable ...
0answers
268 views

### Variable Selection with Kalman Filter

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 ...
0answers
14 views

### Portfolio return attribution by styles

Say I have a time series of portfolio returns (mutual fund xyz), time series for the benchmark, and time series for MSCI style indices (value, momentum, quality, low vol). Note: style indices are long ...
0answers
58 views

### Factor Loading with multiple exposures?

How do I decompose portfolio exposures when assets may have exposure to a few of my risk factors? For instance I have some sector and state specific risk factors. If I have a bond with exposure to ...