netherlandsnl

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: invisible layers surface to deliver attractive returns
Quantitative investing: invisible layers surface to deliver attractive returns
Read more
Spring has sprung for Value investing
Spring has sprung for Value investing
Despite the recent rally in cheap stocks, we believe the Value upswing still has a way to go.
12-05-2021 | Visie
Geen quantcrisis in credits
Geen quantcrisis in credits
Quantstrategieën hebben goed gewerkt in credits.
01-04-2021 | Visie
Niet iedereen profiteert evenveel van de waarderally
Niet iedereen profiteert evenveel van de waarderally
De recente verbetering in waarde wakkert opnieuw de hoop aan op een comeback en zorgt voor de ideale omstandigheden voor een omvangrijke en consistente exposure naar deze stijl.
25-03-2021 | Visie
Logo

Disclaimer

De informatie op deze website is uitsluitend bestemd voor professionele & institutionele beleggers.

Bevestig alstublieft dat u een professionele belegger bent en dat u de voorwaarden van deze website hebt gelezen en begrepen, en deze accepteert.

Niet akkoord