Factor model

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Factor model

A way of decomposing the forces that influence a security's rate of return into common and firm-specific influences.

Factor Model

A mathematical calculation of the extent to which macroeconomic factors affect the securities in a portfolio. Factor models attempt to account for contingencies like changes in interest rates or inflation. Factor models fall into three main categories. A statistical factor model attempts to explain risks particular to an investment. A fundamental factor model looks at risks to an industry or market that may affect a portfolio. Finally, a macroeconomic factor model considers relevant risks to the wider economy. See also: Risk analysis.

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We can speak of "levels" in the sense that each vertex of a factor model corresponds to a subset, or level, of vertices of the product model.

Products of Compartmental Models in Epidemiology

Before we focus on this issue, we describe alternative factor models used in this research.

Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Table 1 presents the results of the CFA comparing the three alternative models: (a) one-factor model, (b) two-correlated-factor model, (c) two-factor with a second-order factor model. The one-factor model obtained an acceptable fit, but inferior to the one observed for the two-factor model.

Estructura factorial y propiedades psicometricas de la Escala de Actitudes Disfuncionales Revisada en universitarios colombianos

When conducting a confirmatory factor analysis with a nested factor model they concluded that the model fit was satisfactory for a general factor and three dimensions.

Intrinsic motivation inventory: psychometric properties in the context of first language and mathematics learning/Inventario de motivacao intrinseca: propriedades psicometricas em contexto de aprendizagem da lingua materna e matematica

became a pioneer in the field of quantitative investing when he invented the first Expected Return Factor Model, capitalizing on natural inefficiencies in the market.

Move Over ETFs - Quantitative Finance Model Cracks Open Emerging Markets

However, studies carried out with the WISC-R on gifted children reached no conclusion, yielding mixed results, ranging from single factor models to multivariate models.

Usefulness of WISC-IV in determining intellectual giftedness

The present paper has attempted to explore the predictability of academic performance in medical course by well-established personality measures the five factor model (6).

Relationship between big five personality traits and academic performance in medical students

The underlying assumption about [X.sub.t] necessary to produce this variance decomposition is that it admits a factor model representation.

Nowcasting using the Chicago Fed National Activity Index

Therefore, in order to estimate the EV's energy consumption for different road types with high accuracy, this paper attempts to establish energy consumption factor models for different road types and make a comparison among different road types.

Comparison of electric vehicle's energy consumption factors for different road types

After the development of CAPM, portfolio theory was further expanded by Fama and French in 1993 and 1996 in which they added two additional risk factors to the existing single factor model to explain the variations in expected stock returns.

A comparative study of CAPM and seven factors risk adjusted return model

The next natural question in the setup of the factor model is the number of factors, r, to include.

Determining the maximum number of uncorrelated strategies in a global portfolio

Can the new factors proxy for fundamental economic and financial risks as well as the Fama and French (1993) factors, if Chen et al.'s (2011) three factor model is to offer an alternative approach to estimating expected returns?