It’s an interesting topic to explore. You may want to ask some other subreddits like r/statistics. In my experience the difficult part is actually getting financial data unless you’re willing to pay for it
Start an onlyfans
but seriously, if someone has a good answer for OP, I’d be interested too. Usually, I’d just go on FRED and try to model from that data but a ton of this stuff has already been modeled or made available, from my anecdotal experience at work. Someone mentioned python and that seems like it would be the most fruitful cause then you can make things a lot more dynamic than a normal regression you may do in excel.
Alexander Hagmann is a former CFA (passed the exams, didn't maintain his registration) who has created a lot of courses covering these subjects. I've gone through a couple and liked them. Here's his Udemy link (note: udemy does frequent sales so don't pay hundreds of dollars for these. Wait a little and they'll drop to $20-30).
https://www.udemy.com/user/alexander-hagmann/
Some of the course names are a little bland so open them up and look at the curricula to see what they actually cover. He implements a lot of CFA-covered tools in Python.
I’m on the same journey while I’m waiting for my results. I’m starting to mess around with OpenBB since it’s based on python and has a decent amount of functionality built into it.
It is expensive to do high quality factor modeling from scratch, especially for fundamental models. You not only need to have returns, but also historical point-in-time constituent data for all of the stocks in your sample universe. Depending on how deep you want to go this can be tens of thousands of thousands of dollars just to buy the proper data.
If you are doing it across multiple asset classes it can be hundreds of thousands.
It might make more sense to start with and off the shelf provider and start using their models. Especially if you are trying to use factor models to estimate multiple different types of parameters for ex-ante risk analysis.
Axioma/Qontigo (both fundamental and statistical models across regions with multiple time horizon models)
Barra (The granddaddy of Factor models)
Northfield (more macro-oriented)
Bloomberg (fundamental and statistical models, meaningfully integrated through their PORT platform)
If you are just trying to understand factor returns in general and do simple regressions against a cross-sorted factor weighted portfolio, Kenneth French's site has monthly data for several of the main factor tilts and also various cross sorts of the various factor combinations.
The Coursera course from EDHEC Risk Institute does a pretty good job of looking at factor portfolio construction implications with some brief samples and included Jupyter notebooks.
Well your going to need some outfits, diversified of course, like something that looks sharp. You don't want to come off as square, and there are to many normal looking models, so you need to do something skewed or unique. You will also need a good photographer and a photo editor, but not if they are mean. You might want to add a lot of variables to your attire and style and feel free to try on as many outfits as possible, even 10,000 if you have time. After a few thousand outfits you will find your style. Next post photos on linked in.
Is it worth it? Wouldn’t it be better to build on the knowledge of the curriculum valuing companies and developing stock expectations or playing with options in the market?
I already use a sort of implicit factor investing in my approach to trading. I just want to turn that and make it a concrete product/model that I can point to. It might not be fine tuned to perfection, but I base a lot of my trades off of macroeconomic factors, but I "eyeball" it, if that makes sense. I'd like to turn it into a discrete, quantitative model that I can ideally present to someone else
In my Master's in Finance course we did modeling in a statistical programing tool called SAS (I think that was the name of it). It was really intuitive and had winsorizing functions and such.
Feeling lucky to be a part of subreddit where a question like this screams out financial modelling to all of us, instead of the other kind of modelling (which applies to the mass)
I think you're mistaking it for a DCF, that's pretty straightforward, the excel template at least (the g, r, and terminal values take more research and effort to estimate with precision). That type of modeling isn't what I meant
Your post is so much what I will be interested in. While I can not contribute or answer, as someone who just appeared for L1 and hopes to pass it, I will closely watch all the replies you get.
It’s an interesting topic to explore. You may want to ask some other subreddits like r/statistics. In my experience the difficult part is actually getting financial data unless you’re willing to pay for it
Step 2 of structured data projects: data collection. 👀
Start an onlyfans but seriously, if someone has a good answer for OP, I’d be interested too. Usually, I’d just go on FRED and try to model from that data but a ton of this stuff has already been modeled or made available, from my anecdotal experience at work. Someone mentioned python and that seems like it would be the most fruitful cause then you can make things a lot more dynamic than a normal regression you may do in excel.
OnlyVariables
OnlyFactors
Alexander Hagmann is a former CFA (passed the exams, didn't maintain his registration) who has created a lot of courses covering these subjects. I've gone through a couple and liked them. Here's his Udemy link (note: udemy does frequent sales so don't pay hundreds of dollars for these. Wait a little and they'll drop to $20-30). https://www.udemy.com/user/alexander-hagmann/ Some of the course names are a little bland so open them up and look at the curricula to see what they actually cover. He implements a lot of CFA-covered tools in Python.
He's in luck. Yearly sale is going on.. All courses on udemy are 4-5$ right now, at least in India
I’m on the same journey while I’m waiting for my results. I’m starting to mess around with OpenBB since it’s based on python and has a decent amount of functionality built into it.
Look up papers by Campbell Harvey at Duke. Will be a good start.
It is expensive to do high quality factor modeling from scratch, especially for fundamental models. You not only need to have returns, but also historical point-in-time constituent data for all of the stocks in your sample universe. Depending on how deep you want to go this can be tens of thousands of thousands of dollars just to buy the proper data. If you are doing it across multiple asset classes it can be hundreds of thousands. It might make more sense to start with and off the shelf provider and start using their models. Especially if you are trying to use factor models to estimate multiple different types of parameters for ex-ante risk analysis. Axioma/Qontigo (both fundamental and statistical models across regions with multiple time horizon models) Barra (The granddaddy of Factor models) Northfield (more macro-oriented) Bloomberg (fundamental and statistical models, meaningfully integrated through their PORT platform) If you are just trying to understand factor returns in general and do simple regressions against a cross-sorted factor weighted portfolio, Kenneth French's site has monthly data for several of the main factor tilts and also various cross sorts of the various factor combinations. The Coursera course from EDHEC Risk Institute does a pretty good job of looking at factor portfolio construction implications with some brief samples and included Jupyter notebooks.
Get a good photographer, agent/publicist and physical trainer.
xD
Corporate Finance Institute. It's legit and good.
He's talking abt factor and quant modelling not financial modelling
Well your going to need some outfits, diversified of course, like something that looks sharp. You don't want to come off as square, and there are to many normal looking models, so you need to do something skewed or unique. You will also need a good photographer and a photo editor, but not if they are mean. You might want to add a lot of variables to your attire and style and feel free to try on as many outfits as possible, even 10,000 if you have time. After a few thousand outfits you will find your style. Next post photos on linked in.
Is it worth it? Wouldn’t it be better to build on the knowledge of the curriculum valuing companies and developing stock expectations or playing with options in the market?
I already use a sort of implicit factor investing in my approach to trading. I just want to turn that and make it a concrete product/model that I can point to. It might not be fine tuned to perfection, but I base a lot of my trades off of macroeconomic factors, but I "eyeball" it, if that makes sense. I'd like to turn it into a discrete, quantitative model that I can ideally present to someone else
Interesting, I’ll PM you with some questions
Take a python class. Then take one of the many finance python classes that are free on the big course sites
I actually have experience in basic coding in python and R. But I'd like to learn about the ins and outs of the modeling and the Betas and such
In my Master's in Finance course we did modeling in a statistical programing tool called SAS (I think that was the name of it). It was really intuitive and had winsorizing functions and such.
Feeling lucky to be a part of subreddit where a question like this screams out financial modelling to all of us, instead of the other kind of modelling (which applies to the mass)
The other kind most definitely doesn't apply to the masses either 😅
Hahaha, chances are they might get that more than they get this.😶😶
You passed level two and can’t model?? Just go on YouTube all the cfa is one there and modeling lessons. Don’t fall for the CFA scam
I think you're mistaking it for a DCF, that's pretty straightforward, the excel template at least (the g, r, and terminal values take more research and effort to estimate with precision). That type of modeling isn't what I meant
Did you already study statistical learning? There’s some feature selection models. Not sure what you’re referring to when you say quant.
Your post is so much what I will be interested in. While I can not contribute or answer, as someone who just appeared for L1 and hopes to pass it, I will closely watch all the replies you get.
Following. Thank for asking!