D17 / Territory 17 of 49
Factor Investing and Asset Pricing
Describe systematic return drivers.
Published work
Released builds
in this territory.
Every card below is included in the current governed release with its article, sources, Python, TypeScript, and available labs.
Search the released libraryAsset-Pricing Models
5 buildsFactor Investing and Asset Pricing / Asset-Pricing Models
CAPM Beta
Measure how much of an asset's historical excess return moves with the market and separate that slope from unexplained return.Factor Investing and Asset Pricing / Asset-Pricing Models
Fama-French Three-Factor Model
Separate market, size and value exposure before describing a return intercept as unexplained performance.Factor Investing and Asset Pricing / Asset-Pricing Models
Carhart Four-Factor Model
Identify whether a persistent-return strategy carries momentum exposure after accounting for market, size and value.Factor Investing and Asset Pricing / Asset-Pricing Models
Fama-French Five-Factor Model
Attribute returns to market, size, value, profitability and investment while keeping factor-definition changes visible.Factor Investing and Asset Pricing / Asset-Pricing Models
Arbitrage Pricing Theory
Calculate the return implied by supplied factor exposures and premia, and identify the assumption behind any apparent pricing gap.Cross-Sectional Factors
6 buildsFactor Investing and Asset Pricing / Cross-Sectional Factors
Value Factor Score
Rank positive-book-equity companies by book-to-market without disguising invalid accounting denominators as cheapness.Factor Investing and Asset Pricing / Cross-Sectional Factors
Size Factor Score
Express a small-company tilt consistently across a market-cap distribution that spans orders of magnitude.Factor Investing and Asset Pricing / Cross-Sectional Factors
Momentum Factor Score
Build a prior-return score with an explicit formation date and skipped recent month.Factor Investing and Asset Pricing / Cross-Sectional Factors
Quality Factor Score
Combine profitability, leverage and earnings stability without confusing a broad quality score with one accounting ratio.Factor Investing and Asset Pricing / Cross-Sectional Factors
Low-Volatility Factor Score
Rank lower historical total-return variability while showing the lookback and annualization that define it.Factor Investing and Asset Pricing / Cross-Sectional Factors
Profitability Factor Score
Measure gross profit generated per unit of assets and distinguish it from other profitability definitions.Factor Construction
6 buildsFactor Investing and Asset Pricing / Factor Construction
Quantile Portfolio Sort
Turn a cross-sectional score into reproducible portfolios with transparent tie and remainder policies.Factor Investing and Asset Pricing / Factor Construction
Z-Score Composite Factor
Combine comparable factor scores while making scale, direction, missingness and weight choices visible.Factor Investing and Asset Pricing / Factor Construction
Sector-Neutral Factor
Remove sector-level score averages and verify which kind of neutrality the result actually achieves.Factor Investing and Asset Pricing / Factor Construction
Beta-Neutral Factor
Construct signal-derived weights with zero net exposure and zero exposure to a supplied beta vector.Factor Investing and Asset Pricing / Factor Construction
Residualized Factor
Extract the part of a cross-sectional signal that is linearly unexplained by specified control characteristics.Factor Investing and Asset Pricing / Factor Construction
Winsorized Rank Factor
Limit extreme characteristic values while preserving an explicit percentile and tied-rank policy.Factor Evaluation
5 buildsFactor Investing and Asset Pricing / Factor Evaluation
Information Coefficient
Measure linear cross-sectional association between a formed signal and subsequent returns without leaking labels into formation.Factor Investing and Asset Pricing / Factor Evaluation
Rank Information Coefficient
Evaluate whether signal ordering matches future-return ordering, including exact ties.Factor Investing and Asset Pricing / Factor Evaluation
Factor Turnover
Measure actual rebalance trading after portfolio drift, including entries, exits and the cash leg.Factor Investing and Asset Pricing / Factor Evaluation
Quantile Spread Return
Calculate a high-minus-low portfolio return and state exactly how gross exposure and cost accounting scale it.Factor Investing and Asset Pricing / Factor Evaluation
Factor Decay Curve
Trace how a frozen signal's association changes across fully matured forward horizons without confusing cumulative and incremental effects.Market Efficiency and Behavioral Dynamics
8 buildsFactor Investing and Asset Pricing / Market Efficiency and Behavioral Dynamics
Variance-Ratio Random-Walk Test
Test whether the variance of aggregated log returns scales as a random-walk benchmark predicts.Factor Investing and Asset Pricing / Market Efficiency and Behavioral Dynamics
Runs Test for Return Independence
Detect unusually clustered or alternating return signs while preserving an exact small-sample reference.Factor Investing and Asset Pricing / Market Efficiency and Behavioral Dynamics
Martingale-Difference Dependence Tests
Screen a claimed zero-conditional-mean innovation against both linear and nonlinear past information.Factor Investing and Asset Pricing / Market Efficiency and Behavioral Dynamics
Momentum and Reversal Horizon Decomposition
Separate recent, intermediate and distant return history without double-counting months or mistaking a chosen sign for evidence of reversal.Factor Investing and Asset Pricing / Market Efficiency and Behavioral Dynamics
Cross-Sectional Herding Detection
Estimate whether cross-sectional return dispersion bends downward during larger market moves, with uncertainty and interpretation limits.Factor Investing and Asset Pricing / Market Efficiency and Behavioral Dynamics
Overreaction and Underreaction Event Analysis
Trace abnormal returns around a predeclared event while keeping the estimation window and event window separate.Factor Investing and Asset Pricing / Market Efficiency and Behavioral Dynamics
Extrapolative-Expectations Proxy Construction
Build an explicit recent-return extrapolation proxy and identify what additional evidence would be needed to call it investor expectations.Factor Investing and Asset Pricing / Market Efficiency and Behavioral Dynamics
Adaptive-Markets Predictability Stability Test
Check whether a predeclared lag-return relationship changes across a fixed split, while distinguishing instability from proof of a market theory.Territory coverage
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