Package org.drip.investing.model

Class FamaFrench5F

java.lang.Object

org.drip.investing.factors.FactorModel

org.drip.investing.model.FamaFrench5F

public class FamaFrench5F
extends FactorModel

FamaFrench3F implements the Five-Factor Fama-French Model. 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 = Multi-Factor Model Suite implementation

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
static FamaFrench5F	Standard(MarketFactor marketFactor, CapitalizationFactor capitalizationFactor, ValueFactor valueFactor, ProfitabilityFactor profitabilityFactor, InvestmentFactor investmentFactor)	Construct a Standard Instance of the 5F Fama-French Model using the Factor Instances

Methods inherited from class org.drip.investing.factors.FactorModel

addFactor, code, containsFactor, description, factorCodeSet, factorMap, factorSet, numberOfFactors

Methods inherited from class java.lang.Object

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

Method Details

Standard

public static final FamaFrench5F Standard(MarketFactor marketFactor,
CapitalizationFactor capitalizationFactor,
ValueFactor valueFactor,
ProfitabilityFactor profitabilityFactor,
InvestmentFactor investmentFactor)

Construct a Standard Instance of the 5F Fama-French Model using the Factor Instances

Parameters:

marketFactor - Market Factor

capitalizationFactor - Capitalization Factor

valueFactor - Value Factor

profitabilityFactor - Profitability Factor

investmentFactor - Investment Factor

Returns:

Standard Instance of the 5F Fama-French Model