switzerlandde

Multi-factor model

In finance, a multi-factor model employs a set of different factors in its computations in order to analyze and explain market phenomena, as well as equilibrium prices of an asset. A multi-factor model can be used to analyze the returns of individual securities but also of entire portfolios.

A typical example is the famous Fama-French Three-factor model, an asset pricing model introduced back in the early 1990s by future Nobel prize laureate Eugene Fama and fellow researcher Kenneth French.

The two academics argued that the size and value factors capture a dimension of systematic risk that is not captured by market beta in the Capital Asset Pricing Model (CAPM). They proposed extending the CAPM, which resulted in their famous Three-factor model. This model was later extended with two additional factors: profitability and investment.

Quantitative Investing
Quantitative Investing

Wir sind seit über 25 Jahren führend im Bereich „Quant Investing”.

Mehr
Spring has to come simply because economic fundamentals require it
Spring has to come simply because economic fundamentals require it
How do you perceive the quant equity winter?
26-02-2021 | Interview
Wir werden uns Fünfjahresziele für den CO2-Emissionsabbau setzen
Wir werden uns Fünfjahresziele für den CO2-Emissionsabbau setzen
Die Dekarbonisierung kommt voran.
22-02-2021 | Interview
The quant equity crisis of 2018-2020: Cornered by ‘big growth’
The quant equity crisis of 2018-2020: Cornered by ‘big growth’
The 2018-2020 quant equity crisis posed an exceptional challenge to quantitative managers due to a rare combination of circumstances.
16-02-2021 | Research