Econometric Factor Model
October 20, 2014 by Gouthaman BalaramanAn econometric factor model to explain factor exposures and risk
Please refer to Understanding Econometric Factor Model for details.
Factor Exposures - {{tickerData.Ticker}}
Risk - {{tickerData.Ticker}}
As of date: {{tickerData.Date}}
| Factor | Exposure | Standard Deviation |
|---|---|---|
| {{item}} | {{tickerData[item].exposure}} | {{tickerData[item].std}} |
| Total Risk (%) | Diversifiable Risk (%) | Non-Diversifiable Risk (%) |
|---|---|---|
| {{tickerData.TotalRisk}} | {{tickerData.DiversifiableRisk}} | {{tickerData.NonDiversifiableRisk}} |
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I am Goutham Balaraman, and I explore topics in quantitative finance, programming, and data science. You can follow me @gsbalaraman.
Updated posts from this blog and transcripts of Luigi's screencasts on YouTube is compiled into QuantLib Python Cookbook .