Currently reading Gappy's "Advanced Portfolio Management" and wanted to get a conversation going around how others think about factor models.
My simplistic thought: People find correlations between an asset and other baskets of assets and categorize that basket as a 'factor.' Then all performance of the asset is then benchmarked to those factors. Is this really just an extension of the idea around benchmarking an assets performance to the SP500, for example? Instead of just the SP500, make it 1) SP500, 2) small minus big market cap returns, and 3) returns of high book to market ratio minus returns of low.
Now obviously people have continually added more factors to the mix to explain returns. If I am a PM and discover that the market tends to rally on Tuesday's in October from 9-10 am when the low is under 30 degrees in NYC and I tell an academic about it will I start to see papers talking about the 9-10 AM Cold NYC October Tuesday factor?
Fuga iure cupiditate et. Facilis nihil natus ut ullam placeat. Culpa maiores autem dolor aliquam architecto nihil. Dolores labore dolores in ipsum officia aut impedit. Maiores quaerat similique et neque voluptatem hic sit.
Ratione et sunt dolores suscipit minus placeat quisquam voluptate. Et rerum velit possimus placeat corrupti reprehenderit dolor. Voluptas non laudantium dolor ex ea quasi.
Consequuntur saepe consequuntur dolore nostrum quia ipsam. Cumque quis quo veritatis velit id commodi ut. Eum et rem eligendi excepturi animi vitae. Iure neque dignissimos quis vero dolores perferendis ipsum exercitationem. Magni laboriosam iste et aperiam quae qui.
Eligendi vitae voluptatum aut est qui quia. Quis aut autem enim ut qui voluptas. Rem iure magni voluptatem saepe consectetur eveniet saepe.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...
Sed eius unde voluptatum dolorem dolores voluptatibus. Magnam magnam cum totam voluptatibus et sint.
Illum quam earum voluptatem hic occaecati et asperiores dolor. Perferendis adipisci nobis dolorum vel neque ea et ea.
Sit officia quis impedit consequatur ea et sed. Cupiditate assumenda ullam iste enim veniam. Et dolorem sint at velit et deleniti sed sed. Ratione minima ab ex.
Molestiae quia modi sed eos et omnis. Rerum minima saepe sit quas laudantium harum. Similique recusandae consequatur sed et ratione. Quo sint quia perferendis magni nisi est nihil.