Exploring Multifactor Models: Horse Races, Forecasts, and Bootstrap

2001 ◽  
Author(s):  
Kevin Q. Wang
Keyword(s):  
Multifactor Models

Analysis of credit portfolio risk using hierarchical multifactor models

2014 ◽  
Vol 10 (4) ◽  
pp. 45-70 ◽  
Author(s):  
Pak-Wing Fok ◽  
Xiuling Yan ◽  
Guangming Yao
Keyword(s):  
Portfolio Risk ◽  
Multifactor Models ◽  
Credit Portfolio

scholarly journals Risk and Performance of European Green and Conventional Funds

2021 ◽  
Vol 13 (8) ◽  
pp. 4226
Author(s):  
Tiago Gonçalves ◽  
Diego Pimentel ◽  
Cristina Gaio
Keyword(s):  
Business Cycle ◽  
Mutual Funds ◽  
Factor Model ◽  
World Market ◽  
The European Union ◽  
Single Factor ◽  
Multifactor Models ◽  
Multifactor Model ◽  
Negative Results ◽  
The Business Cycle

This paper analyzes how the risk-adjusted returns of green funds compare to those of conventional funds, between the years 2005 and 2020 for the European Union countries. Additionally, we tested how the performance of green funds correlates to the business cycle, subdividing their performance through expansionary and recessionary times. The findings are summarized as follows: our regression results demonstrated green and conventional funds exhibiting negative abnormal adjusted-returns against the developed world market benchmark for the single-factor and multifactor models. For the European market benchmark, we found environmental mutual funds presenting a positive performance for both models and conventional funds displaying negative results for the single-factor model and positive results for the multifactor model. The factor loadings for green funds indicated a negative load on momentum, book-to-market (HML) and size (SMB) factors, revealing a higher exposure to big and value companies. Subsampling per business cycle exhibited green mutual funds providing higher risk-adjusted returns to investors during crisis periods and mixed results for the non-crisis periods.

Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India

2018 ◽  
Vol 17 (2_suppl) ◽  
pp. S157-S184 ◽  
Author(s):  
Pankaj K. Agarwal ◽  
H. K. Pradhan
Keyword(s):  
Mutual Fund ◽  
Developed Countries ◽  
Fund Performance ◽  
Superior Performance ◽  
Capital Asset Pricing ◽  
Multifactor Models ◽  
Asset Pricing Model ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Stock Picking

In contrast to developed countries, Indian capital markets do not exhibit strong efficiency and therefore it appears possible that fund managers beat the benchmarks. We examine the existence of superior performance of open-ended equity mutual funds in India with various models including traditional Capital Asset Pricing Model (CAPM)-based as well as recent Fama–French–Carhart (FFC)-factors-based models. We use a survivorship-bias free database including all schemes since inception till recently. We found evidence of stock picking and timing abilities in Indian fund managers. Our results are robust to changes in benchmarks, return frequency, and effects of heteroscedasticity and autocorrelation (HAC).

Predicting the energy-supply parameters for a transportation process based on multifactor models

2017 ◽  
Vol 88 (3) ◽  
pp. 109-114 ◽  
Author(s):  
A. N. Mitrofanov ◽  
G. M. Tret’yakov ◽  
S. V. Kopeikin
Keyword(s):  
Energy Supply ◽  
Multifactor Models ◽  
Transportation Process
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