Skip to main content
Planned maintenance impacting Stack Overflow and all Stack Exchange sites is scheduled for Monday, September 16, 2024, 5:00 PM-10:00 PM EDT (Monday, September 16, 21:00 UTC- Tuesday, September 17, 2:00 UTC). The email/password authentication method will be unavailable for logging in and registering. Read more here

# Questions tagged [factor-loading]

The tag has no usage guidance.

14 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
6 votes
0 answers
218 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)? ...
• 13.8k
3 votes
0 answers
86 views

### Aggregation of (cross-sectional) Factor model

Suppose I have a large factor model for security returns, i.e. I have a vector $\mathbf{Y}(t) \in \mathbb{R}^{P}$, with factor loadings $\mathbf{\beta} \in \mathbb{R}^{P \times K}$ over a set of $K$ ...
• 31
3 votes
0 answers
174 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 $$r = Xf + \epsilon$$...
• 5,931
2 votes
0 answers
108 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 ...
• 554
2 votes
0 answers
507 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 ...
• 441
2 votes
0 answers
330 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 ...
• 11.6k
1 vote
0 answers
49 views

### Should I include factor loadings as explanatory variables for regression of abnormal and raw returns?

My research is to explain stock returns in a regression model. My dependent variable is raw returns and abnormal returns calculated from 3-factor model (Fama and French). Besides regressing against my ...
• 66
1 vote
0 answers
141 views

### factor hedging erodes portfolio alpha

I am hedging a long-short equity portfolio for statistical factors, and finding an improvement in sharpe but not surprisingly an erosion of portfolio alpha (ex ante and ex post). No one factor is ...
• 111
1 vote
0 answers
311 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 ...
• 151
0 votes
0 answers
87 views

### Should I resolve factor collinearity before hedging?

Goal: I want to run a portfolio, daily or weekly rebalanced, with a target idio vol %. Thus I will be market neutral, sector neutral and maintain some style exposure at 70-80% idio overall. Okay, this ...
0 votes
0 answers
94 views

### Index Tracking Problem

I have set up a mean variance optimization problem, $$min:{W}^{\prime}{\Sigma_{\varepsilon}{W}}$$ $$s.t:{W}^{\prime}{\alpha}=R_B\;,\;\;W^{\prime}l={1},\;\;W'\beta=0,\;\;W'Z=\beta_p$$ where, $W$ is an (...
0 votes
0 answers
509 views

### How to implement a factor model from scratch?

Imagine we have price-volume data set and fundamental data set which gives us all the info we need (e.g,. OHLC, earnings, dividends etc.) for stocks listed in a market for long time period. I.e., you ...
0 votes
0 answers
62 views

### Could anyone please help me in understanding how the authors calculated "SMB-hedged with QMJ" at page number 489 of the paper?

Link for the paper: https://www.sciencedirect.com/science/article/pii/S0304405X18301326. "Size matters if you control your junk" by Asness et al. (2018) It's Figure 1.
• 21
0 votes
0 answers
115 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 ...