Work in progress. This primer is still being written.

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Contents About

Foundations

01 Why Factor Models Exist 02 The Factor Model Equation 03 Factors and Exposures 04 Types of Factor Model

Construction

05 Estimation Universe and Coverage Universe 06 Estimating Factor Returns: The Cross-Sectional Regression 07 Factor Portfolios 08 Risk Model Assembly: Factor Covariance, Specific Risk, and the Full Forecast

Applications

09 Risk Attribution: Where Does My Risk Come From? 10 Performance Attribution: Where Did My Returns Come From? 11 Portfolio Construction: How Do I Build the Portfolio I Want? soon 12 Hedging: How Do I Remove the Risk I Don't Want? soon 13 Alpha Research: What Can't the Model Explain? soon

In Practice

14 Evaluating a Factor Model: Is It Fit for Purpose? soon 15 Modifying a Factor Model: Adding, Removing, and Changing Factors soon

Appendix

16 Practical Considerations: Data, Implementation, and Pitfalls 17 Appendix: Reference Material ↳ Mini Example Source Code

Part 12 / 16 · Coming soon

Hedging: How Do I Remove the Risk I Don't Want?

Coming soon

This chapter is being written. Check back soon.

← Part 11 Portfolio Construction: How Do I Build the Portfolio I Want? Part 13 → Alpha Research: What Can't the Model Explain?

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