Single-factor model

Single-factor model

A model of security returns that acknowledges only one common factor. The single factor is usually the market return. See: Factor model.

Single-Factor Model

A mathematical calculation of the extent to which one macroeconomic factor affect the securities in a portfolio. Single-factor models attempt to account for contingencies like changes in interest rate or inflation. Usually, however, a single-factor model considers how the market return affects the return on the portfolio. See also: Risk analysis, Factor model.
References in periodicals archive ?
The single-factor model fit was inconsistent across fit indices, with the CFI = 0.
In Study 1 (N = 171), confirmatory factor analysis revealed good fit to a single-factor model.
The single-factor model presumes that a single market index is enough to explain the fund's investment strategies.
Findings indicated that a single-factor model provided a close fit for these data and compared favorably with three competing two-factor models.
When seen collectively, the single-factor model demonstrates a poor fitting model to the data.
With CFA, a single-factor model may be compared directly to an alternative, two-factor model consisting of distinct benevolence and entitlement factors.
001 Adjusted analysis ([dagger]) Single-factor model Multifactor model Factors OR p-value OR p-value Residence of deceased Bonteheuwel 1 1 Langa 0.
This single-factor model is theoretically challenged by the arbitrage pricing theory (APT) developed by Ross (1976).
Exhibit 3 illustrates the need for a multi-factor model, as opposed to a single-factor model, for systematic risk.
Roberds and Whiteman explore a single-factor model proposed in a well-known paper by Cox, Ingersoll, and Ross; in this model the volatility and level of the short-term interest rate move together and drive the movements of the whole term structure.
Barra's sophisticated process of risk decomposition has proven superior to single-factor models based solely on historical variables such as price.
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