05. Multi-factor Model & Factor Investing

【教學活動】

• Fama French data library http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

• TEJ 市場多因子資料庫 http://www.cof.nkfust.edu.tw/ezfiles/12/1012/attach/49/pta_3414_4714924_64840.pdf

• Python Code

  • https://pypi.org/project/getFamaFrenchFactors/

  • https://pypi.org/project/statsmodels/

  • Fama-French五因子模型實作 https://ycy-blog.herokuapp.com/article/python-five-factor-asset-pricing-model/

  • https://www.portfoliovisualizer.com/factor-analysis#analysisResults

• Smart beta

  • Build and implement smart beta strategies with MATLAB  https://www.mathworks.com/discovery/smart-beta.html

  • Python https://github.com/sanjeevai/smart-beta-portfolio-optimization

【參考資料】

• Betting against beta code

• 建構出自己的 Smart ETF 00905 2.0 ! Part1 – 公開說明書內容解析

• 建構出自己的 Smart ETF 00905 2.0 ! Part2 – 12 個獲利因子程式碼懶人包大公開

• 建構出自己的 Smart ETF 00905 2.0！ Part3 – 優化策略實作

• The Fama-Macbeth Approach Revisited

• Goldman Sachs, Building Confidence in Smart Beta Strategies

• Smart Beta and Beyond:Maximising the Benefits ofFactor Investing

• Foundations of Factor Investing

  • Factor Investing https://factorinvestingtutorial.wordpress.com/hello/

• https://www.researchaffiliates.com/en_us/publications/articles/factor-returns-relationship-with-the-economy.html