Package org.drip.investing.factors

Class FactorComponentLoading

java.lang.Object
org.drip.investing.factors.FactorComponentLoading
public class FactorComponentLoading
extends java.lang.Object
FactorComponentLoading holds the Weight and the Loading corresponding to each Factor. 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FactorComponentLoading​(java.lang.String assetID, int assetType, int factorCategory, int riskPremiumCategory, double weight, double returns, double score)
    FactorComponentLoading Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String assetID()
    Retrieve the Asset ID
    int assetType()
    Retrieve the Asset Type
    int factorCategory()
    Retrieve the Factor Category
    boolean flipWeightSign()
    Flip the Weight Sign
    double returns()
    Retrieve the Factor Returns
    int riskPremiumCategory()
    Retrieve the Risk Premium Category
    double score()
    Retrieve the Factor Score
    double weight()
    Retrieve the Factor Weight

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FactorComponentLoading

      public FactorComponentLoading​(java.lang.String assetID, int assetType, int factorCategory, int riskPremiumCategory, double weight, double returns, double score) throws java.lang.Exception
      FactorComponentLoading Constructor
      Parameters:
      assetID - Asset ID
      assetType - Asset Type
      factorCategory - Factor Category
      riskPremiumCategory - Risk Premium Category
      weight - Factor Weight
      returns - Factor Returns
      score - Factor Score
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • assetID

      public java.lang.String assetID()
      Retrieve the Asset ID
      Returns:
      The Asset ID

    • assetType

      public int assetType()
      Retrieve the Asset Type
      Returns:
      The Asset Type

    • factorCategory

      public int factorCategory()
      Retrieve the Factor Category
      Returns:
      The Factor Category

    • riskPremiumCategory

      public int riskPremiumCategory()
      Retrieve the Risk Premium Category
      Returns:
      The Risk Premium Category

    • weight

      public double weight()
      Retrieve the Factor Weight
      Returns:
      The Factor Weight

    • returns

      public double returns()
      Retrieve the Factor Returns
      Returns:
      The Factor Returns

    • score

      public double score()
      Retrieve the Factor Score
      Returns:
      The Factor Score

    • flipWeightSign

      public boolean flipWeightSign()
      Flip the Weight Sign
      Returns:
      TRUE - The Weight Sign has been Flipped