This is a summary of links featured on Quantocracy on Tuesday, 04/30/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Replicate Fama French 5-Factor Model from publicly available data sources [DileQuante]As an equity quantitative analyst, you have recurring positioning analysis tasks. Your most effective approach is to model your object of study (usually stocks, portfolios or indexes) and decompose its behavior into common risk factors. You can create your own factor model or use existing models. There are robust models generated by data providers like MSCI or Qontigo, which are quite