3min chapter

The Quant / Financial Engineering Podcast cover image

Multi Factor Investing with Rodrigo Petricioli, MFE

The Quant / Financial Engineering Podcast

CHAPTER

The Famine French Three Factor Model - How Do You Measure That Risk?

The model uses a relatively simple multiple linear regression model. It is based off the Famine French three factor model. This here are nothing more than the risk of each factor measured as the change in the portfolio that you're trying to measure against these three factors. So what they found out was that with only using these three factors, we have an enormous amount of explanatory power here.

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