Package org.drip.investing.engine

Class AssetLoading

java.lang.Object
org.drip.investing.engine.AssetLoading
public class AssetLoading
extends java.lang.Object
AssetLoading contains Asset-level Results of a Factor Regression Run. The References are:

  • Baltussen, G., L. Swinkels, and P. van Vliet (2021): Global Factor Premiums Journal of Financial Economics 142 (3) 1128-1154
  • Blitz, D., and P. van Vliet (2007): The Volatility Effect: Lower Risk without Lower Return Journal of Portfolio Management 34 (1) 102-113
  • Fisher, G. S., R. Shah, and S. Titman (2017): Combining Value and Momentum https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2472936 eSSRN
  • Houweling, P., and J. van Zundert (2017): Factor Investing in the Corporate Bond Market Financial Analysts Journal 73 (2) 100-115
  • Wikipedia (2024): Factor Investing https://en.wikipedia.org/wiki/Factor_investing


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    AssetLoading​(Factor factor, double expectedFactorReturns, double factorBeta, int factorBetaType)
    AssetLoading Constructor

  • Method Summary

    Modifier and Type Method Description
    double expectedFactorReturns()
    Retrieve the Expected Factor Returns
    Factor factor()
    Retrieve the Underlying Factor
    double factorBeta()
    Retrieve the Factor Beta
    int factorBetaType()
    Retrieve the Factor Beta Type
    boolean tiltAwayFromFactor()
    Indicate if the Asset is Tilted away from the Factor
    boolean tiltNeutral()
    Indicate if the Asset is Tilted neither towards or away from the Factor
    boolean tiltTowardsFactor()
    Indicate if the Asset is Tilted towards the Factor

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • AssetLoading

      public AssetLoading​(Factor factor, double expectedFactorReturns, double factorBeta, int factorBetaType) throws java.lang.Exception
      AssetLoading Constructor
      Parameters:
      factor - Factor
      expectedFactorReturns - Expected Factor Returns
      factorBeta - Factor Beta
      factorBetaType - Factor Beta Type
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • factor

      public Factor factor()
      Retrieve the Underlying Factor
      Returns:
      The Underlying Factor

    • expectedFactorReturns

      public double expectedFactorReturns()
      Retrieve the Expected Factor Returns
      Returns:
      The Expected Factor Returns

    • factorBeta

      public double factorBeta()
      Retrieve the Factor Beta
      Returns:
      The Factor Beta

    • factorBetaType

      public int factorBetaType()
      Retrieve the Factor Beta Type
      Returns:
      The Factor Beta Type

    • tiltNeutral

      public boolean tiltNeutral()
      Indicate if the Asset is Tilted neither towards or away from the Factor
      Returns:
      TRUE - The Asset is Tilted neither towards or away from the Factor

    • tiltTowardsFactor

      public boolean tiltTowardsFactor()
      Indicate if the Asset is Tilted towards the Factor
      Returns:
      TRUE - The Asset is Tilted towards the Factor

    • tiltAwayFromFactor

      public boolean tiltAwayFromFactor()
      Indicate if the Asset is Tilted away from the Factor
      Returns:
      TRUE - The Asset is Tilted away from the Factor