Questions tagged [factor-loading]
The factor-loading tag has no usage guidance.
14
questions with no upvoted or accepted answers
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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
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86
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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
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174
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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
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108
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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
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507
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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
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330
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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
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49
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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
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141
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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
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311
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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
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87
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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 ...
- 1
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94
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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 (...
- 33
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509
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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 ...
- 173
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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
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115
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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 ...
