Comparing Investment Style with Fama French 3 Factor ModelMulti Factor Credit Risk ModelsMissing factor in the factor modelhow can I calculate the factor loading (beta)?Using cross-sectional factor model (BARRA type) returns in a time series factor model (Fama-French type)?Fama-French three-factor model vs four-factor (Carhart) and five-factor modelFama French & Solving for AlphaHow to build Factor model like Fama & French (2014)?Fama french model: Daily excess return calculationExtend mean-variance optimisation to fama five factor
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Comparing Investment Style with Fama French 3 Factor Model
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Comparing Investment Style with Fama French 3 Factor Model
Multi Factor Credit Risk ModelsMissing factor in the factor modelhow can I calculate the factor loading (beta)?Using cross-sectional factor model (BARRA type) returns in a time series factor model (Fama-French type)?Fama-French three-factor model vs four-factor (Carhart) and five-factor modelFama French & Solving for AlphaHow to build Factor model like Fama & French (2014)?Fama french model: Daily excess return calculationExtend mean-variance optimisation to fama five factor
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How do you evaluate this? I have tried searching online but there are no matching results. Is it just a simple average of the 3 Betas? And how do we determine the investment style aggressiveness? In single factor model, β > 1 is used as proxy but this is a multi-factor model. Any help would be appreciated
factor-models fama-french factor-loading
asked 14 hours ago
SMLJKNNSMLJKNN
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$begingroup$
How do you evaluate this? I have tried searching online but there are no matching results. Is it just a simple average of the 3 Betas? And how do we determine the investment style aggressiveness? In single factor model, β > 1 is used as proxy but this is a multi-factor model. Any help would be appreciated
factor-models fama-french factor-loading
asked 14 hours ago
SMLJKNNSMLJKNN
566 bronze badges
$endgroup$
add a comment
|
$begingroup$
How do you evaluate this? I have tried searching online but there are no matching results. Is it just a simple average of the 3 Betas? And how do we determine the investment style aggressiveness? In single factor model, β > 1 is used as proxy but this is a multi-factor model. Any help would be appreciated
factor-models fama-french factor-loading
asked 14 hours ago
SMLJKNNSMLJKNN
566 bronze badges
$endgroup$
How do you evaluate this? I have tried searching online but there are no matching results. Is it just a simple average of the 3 Betas? And how do we determine the investment style aggressiveness? In single factor model, β > 1 is used as proxy but this is a multi-factor model. Any help would be appreciated
factor-models fama-french factor-loading
factor-models fama-french factor-loading
asked 14 hours ago
SMLJKNNSMLJKNN
566 bronze badges
asked 14 hours ago
SMLJKNNSMLJKNN
566 bronze badges
asked 14 hours ago
SMLJKNNSMLJKNN
566 bronze badges
asked 14 hours ago
SMLJKNNSMLJKNN
566 bronze badges
asked 14 hours ago
SMLJKNNSMLJKNN
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2 Answers
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How do the investment styles compare?
KIS 10 is the only one with substantial exposure to Value and Size, the other two have negligible exposure to these two factors. GS1 is typical of a portfolio of big, growing companies, such as S&P 500, market beta near 1 and with very slightly negative value and size exposure. Most investors hold this kind of portfolio, and most mutual funds have this profile. But GS1 is not an S&P 500 Index Fund since such funds target and achieve a market beta of exactly 1. CS7 is slightly more cautious that GS1, probably holds some additional cash.
Which is most aggressive?
Since an "average portfolio" has betas of (1,0,0), I would measure "aggressiveness" as $beta_1+|beta_2| +|beta_3|$. So KIS1 is most aggressive.
answered 5 hours ago
Alex CAlex C
7,2691 gold badge13 silver badges26 bronze badges
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This question seems rather vague, but I believe what the question can be answered by identifying the portfolio with the largest difference in the portfolio's excess return and the FF3FM expected return after subtracting the risk free rate.
If, for example, the model prices the portfolio near the portfolio's actual excess return then you know that the portfolio is likely an indexed portfolio. The greater the difference between the model's expected return and the portfolio's actual excess return, the more likely that the portfolio uses some active management that attempts to achieve alpha through security selection--often thought of as a more aggressive style.
Keep in mind, in my above answer, remember to take out the risk free rate from the FF3FM expected return so that you are not inflating the portfolio's actual return.
You will have to retrieve the HML and SMB values from the model creator's website.
answered 5 hours ago
Jason pJason p
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2 Answers
2
active
oldest
votes
2 Answers
2
active
oldest
votes
active
oldest
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active
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votes
$begingroup$
How do the investment styles compare?
KIS 10 is the only one with substantial exposure to Value and Size, the other two have negligible exposure to these two factors. GS1 is typical of a portfolio of big, growing companies, such as S&P 500, market beta near 1 and with very slightly negative value and size exposure. Most investors hold this kind of portfolio, and most mutual funds have this profile. But GS1 is not an S&P 500 Index Fund since such funds target and achieve a market beta of exactly 1. CS7 is slightly more cautious that GS1, probably holds some additional cash.
Which is most aggressive?
Since an "average portfolio" has betas of (1,0,0), I would measure "aggressiveness" as $beta_1+|beta_2| +|beta_3|$. So KIS1 is most aggressive.
answered 5 hours ago
Alex CAlex C
7,2691 gold badge13 silver badges26 bronze badges
$endgroup$
add a comment
|
$begingroup$
How do the investment styles compare?
KIS 10 is the only one with substantial exposure to Value and Size, the other two have negligible exposure to these two factors. GS1 is typical of a portfolio of big, growing companies, such as S&P 500, market beta near 1 and with very slightly negative value and size exposure. Most investors hold this kind of portfolio, and most mutual funds have this profile. But GS1 is not an S&P 500 Index Fund since such funds target and achieve a market beta of exactly 1. CS7 is slightly more cautious that GS1, probably holds some additional cash.
Which is most aggressive?
Since an "average portfolio" has betas of (1,0,0), I would measure "aggressiveness" as $beta_1+|beta_2| +|beta_3|$. So KIS1 is most aggressive.
answered 5 hours ago
Alex CAlex C
7,2691 gold badge13 silver badges26 bronze badges
$endgroup$
add a comment
|
$begingroup$
How do the investment styles compare?
KIS 10 is the only one with substantial exposure to Value and Size, the other two have negligible exposure to these two factors. GS1 is typical of a portfolio of big, growing companies, such as S&P 500, market beta near 1 and with very slightly negative value and size exposure. Most investors hold this kind of portfolio, and most mutual funds have this profile. But GS1 is not an S&P 500 Index Fund since such funds target and achieve a market beta of exactly 1. CS7 is slightly more cautious that GS1, probably holds some additional cash.
Which is most aggressive?
Since an "average portfolio" has betas of (1,0,0), I would measure "aggressiveness" as $beta_1+|beta_2| +|beta_3|$. So KIS1 is most aggressive.
answered 5 hours ago
Alex CAlex C
7,2691 gold badge13 silver badges26 bronze badges
$endgroup$
How do the investment styles compare?
KIS 10 is the only one with substantial exposure to Value and Size, the other two have negligible exposure to these two factors. GS1 is typical of a portfolio of big, growing companies, such as S&P 500, market beta near 1 and with very slightly negative value and size exposure. Most investors hold this kind of portfolio, and most mutual funds have this profile. But GS1 is not an S&P 500 Index Fund since such funds target and achieve a market beta of exactly 1. CS7 is slightly more cautious that GS1, probably holds some additional cash.
Which is most aggressive?
Since an "average portfolio" has betas of (1,0,0), I would measure "aggressiveness" as $beta_1+|beta_2| +|beta_3|$. So KIS1 is most aggressive.
answered 5 hours ago
Alex CAlex C
7,2691 gold badge13 silver badges26 bronze badges
edited 5 hours ago
answered 5 hours ago
Alex CAlex C
7,2691 gold badge13 silver badges26 bronze badges
answered 5 hours ago
Alex CAlex C
7,2691 gold badge13 silver badges26 bronze badges
answered 5 hours ago
Alex CAlex C
7,2691 gold badge13 silver badges26 bronze badges
7,2691 gold badge13 silver badges26 bronze badges
add a comment
|
add a comment
|
$begingroup$
This question seems rather vague, but I believe what the question can be answered by identifying the portfolio with the largest difference in the portfolio's excess return and the FF3FM expected return after subtracting the risk free rate.
If, for example, the model prices the portfolio near the portfolio's actual excess return then you know that the portfolio is likely an indexed portfolio. The greater the difference between the model's expected return and the portfolio's actual excess return, the more likely that the portfolio uses some active management that attempts to achieve alpha through security selection--often thought of as a more aggressive style.
Keep in mind, in my above answer, remember to take out the risk free rate from the FF3FM expected return so that you are not inflating the portfolio's actual return.
You will have to retrieve the HML and SMB values from the model creator's website.
answered 5 hours ago
Jason pJason p
212 bronze badges
$endgroup$
add a comment
|
$begingroup$
This question seems rather vague, but I believe what the question can be answered by identifying the portfolio with the largest difference in the portfolio's excess return and the FF3FM expected return after subtracting the risk free rate.
If, for example, the model prices the portfolio near the portfolio's actual excess return then you know that the portfolio is likely an indexed portfolio. The greater the difference between the model's expected return and the portfolio's actual excess return, the more likely that the portfolio uses some active management that attempts to achieve alpha through security selection--often thought of as a more aggressive style.
Keep in mind, in my above answer, remember to take out the risk free rate from the FF3FM expected return so that you are not inflating the portfolio's actual return.
You will have to retrieve the HML and SMB values from the model creator's website.
answered 5 hours ago
Jason pJason p
212 bronze badges
$endgroup$
add a comment
|
$begingroup$
This question seems rather vague, but I believe what the question can be answered by identifying the portfolio with the largest difference in the portfolio's excess return and the FF3FM expected return after subtracting the risk free rate.
If, for example, the model prices the portfolio near the portfolio's actual excess return then you know that the portfolio is likely an indexed portfolio. The greater the difference between the model's expected return and the portfolio's actual excess return, the more likely that the portfolio uses some active management that attempts to achieve alpha through security selection--often thought of as a more aggressive style.
Keep in mind, in my above answer, remember to take out the risk free rate from the FF3FM expected return so that you are not inflating the portfolio's actual return.
You will have to retrieve the HML and SMB values from the model creator's website.
answered 5 hours ago
Jason pJason p
212 bronze badges
$endgroup$
This question seems rather vague, but I believe what the question can be answered by identifying the portfolio with the largest difference in the portfolio's excess return and the FF3FM expected return after subtracting the risk free rate.
If, for example, the model prices the portfolio near the portfolio's actual excess return then you know that the portfolio is likely an indexed portfolio. The greater the difference between the model's expected return and the portfolio's actual excess return, the more likely that the portfolio uses some active management that attempts to achieve alpha through security selection--often thought of as a more aggressive style.
Keep in mind, in my above answer, remember to take out the risk free rate from the FF3FM expected return so that you are not inflating the portfolio's actual return.
You will have to retrieve the HML and SMB values from the model creator's website.
answered 5 hours ago
Jason pJason p
212 bronze badges
answered 5 hours ago
Jason pJason p
212 bronze badges
answered 5 hours ago
Jason pJason p
212 bronze badges
answered 5 hours ago
Jason pJason p
212 bronze badges
212 bronze badges
add a comment
|
add a comment
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