Package org.drip.investing.factors

Class Factor

java.lang.Object

org.drip.investing.factors.Factor

Direct Known Subclasses:

CapitalizationFactor, InvestmentFactor, MarketFactor, MomentumFactor, MramorPahorFactor, ProfitabilityFactor, ValueFactor, VolatilityFactor

public abstract class Factor
extends java.lang.Object

Factor holds the Named Factor and its Portfolio. The References are:

• Blitz, D., M. X. Hanauer, M. Vidojevic, and P. van Vliet (2018): Five-Factors with the Five-Factor Model Journal of Portfolio Management 44 (4) 71-78
• Fama, E. F., and K. R. French (1992): The Cross-section of Expected Stock Returns Journal of Finance 47 (2) 427-465
• Fama, E. F., and K. R. French (2015): A Five-Factor Asset Pricing Model Journal of Financial Economics 116 (1) 1-22
• Foye, J. (2018): Testing Alternative Versions of the Fama-French Five-Factor Model in the UK Risk Management 20 (2) 167-183
• Wikipedia (2024): Fama–French three-factor model https://en.wikipedia.org/wiki/Fama%E2%80%93French_three-factor_model

• Module = Portfolio Core Module
• Library = Asset Allocation Analytics
• Project = Factor/Style Based Quantitative Investing
• Package = Factor Types, Characteristics, and Constitution

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
java.lang.String	code()	Retrieve the Factor Code
java.lang.String	description()	Retrieve the Factor Description
int	metricType()	Retrieve the Factor Metric Type
FactorPortfolio	portfolio()	Retrieve the Factor Portfolio
FactorPortfolioRanker	portfolioRanker()	Retrieve the Factor Portfolio Ranker
java.util.Map<java.lang.String,FactorComponentLoading>	rankedFactorComponentLoadingMap()	Generate the Ranked Map of Components in the Factor Portfolio

Methods inherited from class java.lang.Object

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

Method Details

code

public java.lang.String code()

Retrieve the Factor Code

Returns:

The Factor Code

description

public java.lang.String description()

Retrieve the Factor Description

Returns:

The Factor Description

metricType

public int metricType()

Retrieve the Factor Metric Type

Returns:

The Factor Metric Type

portfolio

public FactorPortfolio portfolio()

Retrieve the Factor Portfolio

Returns:

The Factor Portfolio

portfolioRanker

public FactorPortfolioRanker portfolioRanker()

Retrieve the Factor Portfolio Ranker

Returns:

The Factor Portfolio Ranker

rankedFactorComponentLoadingMap

public java.util.Map<java.lang.String,FactorComponentLoading> rankedFactorComponentLoadingMap()

Generate the Ranked Map of Components in the Factor Portfolio

Returns:

The Ranked Map of Components