$25.00
In the past 40 years, equity multi-factor models have become an important tool for investment managers to attribute past portfolio performance and assess future potential sources of loss. A crucial step in developing this class of model is to explain a significant proportion of the variation in the price changes of a large number of securities using a small number of variables. This article seeks to develop a methodology for effectively and efficiently constructing reasonable equity multi-factor models.
Authors: Bill Wynne and Edward Rackham, Ph.D.
Description
In the past 40 years, equity multi-factor models have become an important tool for investment managers to attribute past portfolio performance and assess future potential sources of loss. A crucial step in developing this class of model is to explain a significant proportion of the variation in the price changes of a large number of securities using a small number of variables. This article seeks to develop a methodology for effectively and efficiently constructing reasonable equity multi-factor models.
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