The Fama-French Three Factor model is a formula for calculating the rate of return on a given asset. Like many (if not most) such models, it offers an estimated value based on market factors at large.

Learn how HML impacts stock returns within the Fama-French model, highlighting value stocks' advantage over growth stocks for strategic investment insights.

We propose a framework for constructing factor models for alpha streams. Our motivation is threefold. Firstly, when the number of alphas is large, the sample covariance matrix is singular. Secondly, ...

The world is changing. Why should portfolio design stay the same? To navigate today’s unprecedented uncertainty and adapt to clients’ shifting needs, financial advisors must become more flexible and ...

In a new working paper, Fama-French extend previous work to offer investors the possibility of capturing additional returns. It’s almost universally agreed that relative to the market as a whole, ...

In order to best assess risk in a portfolio, it’s critical for portfolio managers not to rely on a one size fits all approach to modeling. The most exacting approach will take regional concerns into ...

INVESTMENT research firm MSCI on Thursday (Jun 16) launched a series of equity factor models that feature new sustainability, crowding and machine-learning factors. Calling them “next-generation” ...

NEW YORK--(BUSINESS WIRE)--MSCI Inc. (NYSE: MSCI), a leading provider of critical decision support tools and services for the global investment community, today announces the launch of the next ...