Package org.drip.investing.riskindex

Class MomentumFactor

java.lang.Object

org.drip.investing.factors.Factor

org.drip.investing.riskindex.MomentumFactor

public class MomentumFactor
extends Factor

MomentumFactor is the Implementation of the Momentum Factor. The References are:

• Carhart, M. M. (1997): On Persistence of Mutual Fund Performance Journal of Finance 52 (1) 57-82
• Fama, E. F., and K. R. French (1993): Common Risk Factors in the Returns on Stocks and Bonds Journal of Financial Economics 33 (1) 3-56
• Hezbi, H., and A. Salehi (2016): Comparison of Explanatory Power of Carhart Four-factor Model and Fama-French Five-factor Model in Prediction of Expected Stock Returns Financial Engineering and Portfolio Management 7 (28) 137-152
• Low, R. K. Y., and E. Tan (2016): The Role of Analysts’ Forecasts in the Momentum Effect International Review of Financial Analysis 48 67-84
• Wikipedia (2024): Carhart Four Factor Model https://en.wikipedia.org/wiki/Carhart_four-factor_model

• Module = Portfolio Core Module
• Library = Asset Allocation Analytics
• Project = Factor/Style Based Quantitative Investing
• Package = Implementation of Risk Factor Indices

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
MomentumFactor(java.lang.String code, java.lang.String description, int metricType, FactorPortfolio portfolio, MomentumFactorMeta meta)	MomentumFactor Constructor

Method Summary

Modifier and Type	Method	Description
static MomentumFactor	CRSP(int metricType, FactorPortfolio portfolio)	Construct a CRSP Instance of the Momentum Factor
MomentumFactorMeta	meta()	Retrieve the Momentum Factor Meta

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

code, description, metricType, portfolio, portfolioRanker, rankedFactorComponentLoadingMap

Methods inherited from class java.lang.Object

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

Constructor Details

MomentumFactor

public MomentumFactor(java.lang.String code,
java.lang.String description,
int metricType,
FactorPortfolio portfolio,
MomentumFactorMeta meta)
               throws java.lang.Exception

MomentumFactor Constructor

Parameters:

code - Factor Code

description - Description

metricType - Factor Metric Type

portfolio - Factor Portfolio

meta - Momentum Factor Meta

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

CRSP

public static final MomentumFactor CRSP(int metricType,
FactorPortfolio portfolio)

Construct a CRSP Instance of the Momentum Factor

Parameters:

metricType - Factor Metric Type

portfolio - Factor Portfolio

Returns:

CRSP Instance of the Momentum Factor

meta

public MomentumFactorMeta meta()

Retrieve the Momentum Factor Meta

Returns:

The Momentum Factor Meta