fpcmotif / multifactor-models

A Survey of Multi-Factor Models

A Survey of Multi-Factor Models

SHARPE'S SINGLE FACTOR MODEL: This model is created in an attempt to decompose the returns on a specific asset between alpha, the residual return, and the return correlated with the general excess return from the market. Our experiment begins by creating the single factor model for a variety of etf stocks and the s&p500.

Stocks:

XLB (Materials) XLE (Energy) XLF (Financials) XLI (Industrials) XLK (Technology) XLP (Consumer Staples) XLU (Utilities) XLV (Health Care) XLY (Consumer Discretionary)

Time Frame:

January 1, 2000 January 1, 2015