Factor Investing Software
Factor Analysis – What is it
It’s based on the idea that an asset’s returns can be predicted using relationship between the asset’s expected return and a number of variables that capture systematic risk. Those variables are called factors and they cover company’s financials, trends, macroeconomic conditions, etc.
It is a useful tool to identify securities that may be temporarily mispriced, before the market eventually corrects and securities move back to their fair value.
The main task of factor analysis is to determine the distribution of factors in the current market.
Factors are the driving forces behind the market price movements. They explain why company B is doing better than company A.
If we can discover and quantify major factors on current market, we can determine their influence to each company on the market. Company with bigger exposure to factors that drives prices up will do better than others.
Look for factors that are generally independent and uncorrelated with one another. Combining exposure to multiple factors can actually decrease the volatility of a portfolio even while increasing the return.
We have been developing factor investing software that provides insight into the importance of factors that move stock prices. You can find more information about factor investing in our articles. We especially recommend the article Are Higher Earnings Always Better? Case Study from S&P 100 and the article In Factor Investing Even Best Can Lose – Data-Driven Insights into Factor-Based Analysis.
Factor Investing – Articles
Value at Risk – Configuration of Investment Strategies
Welcome to the next blog post of our ‘Configuration of Investment Strategies’ series, where we delve into the crucial concept of ‘Value at Risk’ (VaR) across various confidence levels—90%, 95%, and 99%. Understanding VaR is important for investors seeking to gauge the potential losses their portfolios may face under different scenarios.
The AP on the Street 47th week of 2023 – Trending Factors
The latest edition of our factor-driven weekly newsletter is here, shedding light on the trending factors from the week of 20.11.2023 – 24.11.2023. Read the e-mail version.
What is the Fama-French Three-Factor Investing Model?
Investing is a tough field with innumerable strategies and approaches. One approach that has gained popularity over the years would definitely be factor investing. Even we are using it for our products. Factor investing is an investment strategy that involves targeting specific drivers of return across asset classes.
The AP on the Street 46th week of 2023 – Trending Factors
The 6 factor-driven weekly newsletter is here. Let’s look at the trending factors from last week (13.11.2023 – 17.11.2023) as detected by our factor investing software. First, we identify the most performing Factors in every Group of Factors (Momentum, Quality, Size, Trend, Volatility). In the second step, we are focusing in more detail on two selected factors. Read the e-mail version.
The AP on the Street 45th week of 2023 – Trending Factors
The fifth factor-driven weekly newsletter is here. Let’s look at the trending factors from last week (06.11.2023 – 10.11.2023) as detected by our factor investing software. First, we identify the most performing Factors in every Group of Factors (Momentum, Quality, Size, Trend, Volatility). In the second step, we are focusing in more detail on two selected factors. Read the e-mail version.
Rolling Window Performance – Configuration of Investment Strategies
In this part of our ‘Configuration of Investment Strategies’ series, we talk about ‘Rolling Window Performance,’ a crucial way to see how our strategies do in changing markets. This metric is important for comprehending how strategies perform within dynamic market conditions. But what exactly is a rolling window?