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Exabel's Factor Model

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  • {O}yvind Grotmol
  • Michael Scheuerer
  • Kjersti Aas
  • Martin Jullum

Abstract

Factor models have become a common and valued tool for understanding the risks associated with an investing strategy. In this report we describe Exabel's factor model, we quantify the fraction of the variability of the returns explained by the different factors, and we show some examples of annual returns of portfolios with different factor exposure.

Suggested Citation

  • {O}yvind Grotmol & Michael Scheuerer & Kjersti Aas & Martin Jullum, 2022. "Exabel's Factor Model," Papers 2203.12408, arXiv.org.
    • Handle: RePEc:arx:papers:2203.12408
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    References listed on IDEAS

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    1. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
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