Exabel's Factor Model

• Tác giả: Kjersti Aas, Øyvind Grotmol, Martin Jullum, Michael Scheuerer
• Ngôn ngữ: eng
• Ký hiệu phân loại: 153.153 Factors in learning
• Thông tin xuất bản: 2022
• Bộ sưu tập: Báo, Tạp chí
• ID: 194763

Tóm tắt

Factor models have become a common and valued tool for understanding the risks associated with an investing strategy. In this report we describe Exabel's factor model, we quantify the fraction of the variability of the returns explained by the different factors, and we show some examples of annual returns of portfolios with different factor exposure.