In a recent Fundamental Edge webinar, our Chief Data Scientist Ben Lieblich shared a comprehensive overview on equity risk models. Attendees gained practical knowledge on subjects such as trades, risk baskets, and factor drivers. The accompanying video promises a deeper dive into these critical aspects, offering a valuable resource for professionals in the dynamic world of fundamental investing.
Topics include:
Background of factor models
- Basic Standard deviation calculation
- Capital asset pricing model
- Fama French three-factor model
- Wolfe QESUS Model (latest one)
Risk Decomposition
- Volatility, % Contribution by Factor Group
- Volatility, % Contribution by Factor
- Volatility, % Contribution
Covariance Matrix
- Co-volatility
- Correlation
Factor Returns
- Cumulative Factor Returns
- Factor return time series
Trades
- Simulation Risk Pre vs Post
- Pre- and Post-trade Factor exposures
- Factor exposure changes
Risk Basket
- Portfolio
- Basket constituents
- Pre- and Post-risk
- Risk Details
Factor drivers
- Return Attribution
- Total, Factor and Specific returns
- Price
- Factor contribution
- Factor returns
In this video release deepen your understanding of equity risk models and tips on practical implementation.