Quant Research · Research
Factor Models
Explaining returns with a few common drivers: CAPM's single beta, Fama–French three and five factors, momentum, running a factor regression to find alpha, risk models, and why published anomalies shrink.
Step 1 of 6 · Overview35 min read ·
Key idea
Prereqs: Portfolio theory; Regression. Next: Risk models: VaR & stress tests. Sources: Sharpe (1964); Fama & French (1993, 2015); Carhart (1997); McLean & Pontiff, 'Does Academic Research Destroy Stock Return Predictability?' (2016); Kenneth French's data library.Next: 1. From CAPM to multifactor