Package org.drip.investing.riskindex

Class ValueFactor

java.lang.Object

org.drip.investing.factors.Factor

org.drip.investing.riskindex.ValueFactor

public class ValueFactor
extends Factor

ValueFactor is the Implementation of the Value 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
ValueFactor(java.lang.String code, int metricType, FactorPortfolio portfolio, FactorPortfolioRanker portfolioRanker)	ValueFactor Constructor

Method Summary

Modifier and Type	Method	Description
ValueFactor	DividendYield(FactorPortfolio portfolio, FactorPortfolioRanker portfolioRanker)	Build a Value Factor Instance based off of the Dividend Yield Metric
ValueFactor	PBRatio(FactorPortfolio portfolio, FactorPortfolioRanker portfolioRanker)	Build a Value Factor Instance based off of the P/B Ratio Metric
ValueFactor	PERatio(FactorPortfolio portfolio, FactorPortfolioRanker portfolioRanker)	Build a Value Factor Instance based off of the P/E Ratio Metric
ValueFactor	PSRatio(FactorPortfolio portfolio, FactorPortfolioRanker portfolioRanker)	Build a Value Factor Instance based off of the P/S Ratio Metric

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

ValueFactor

public ValueFactor(java.lang.String code,
int metricType,
FactorPortfolio portfolio,
FactorPortfolioRanker portfolioRanker)
            throws java.lang.Exception

ValueFactor Constructor

Parameters:

code - Factor Code

metricType - Factor Metric Type

portfolio - Factor Portfolio

portfolioRanker - Factor Portfolio Ranker

Throws:

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

Method Details

PERatio

public ValueFactor PERatio(FactorPortfolio portfolio,
FactorPortfolioRanker portfolioRanker)

Build a Value Factor Instance based off of the P/E Ratio Metric

Parameters:

portfolio - The Factor Portfolio

portfolioRanker - Factor Portfolio Ranker

Returns:

Value Factor Instance based off of the P/E Ratio Metric

PBRatio

public ValueFactor PBRatio(FactorPortfolio portfolio,
FactorPortfolioRanker portfolioRanker)

Build a Value Factor Instance based off of the P/B Ratio Metric

Parameters:

portfolio - The Factor Portfolio

portfolioRanker - Factor Portfolio Ranker

Returns:

Value Factor Instance based off of the P/B Ratio Metric

PSRatio

public ValueFactor PSRatio(FactorPortfolio portfolio,
FactorPortfolioRanker portfolioRanker)

Build a Value Factor Instance based off of the P/S Ratio Metric

Parameters:

portfolio - The Factor Portfolio

portfolioRanker - Factor Portfolio Ranker

Returns:

Value Factor Instance based off of the P/S Ratio Metric

DividendYield

public ValueFactor DividendYield(FactorPortfolio portfolio,
FactorPortfolioRanker portfolioRanker)

Build a Value Factor Instance based off of the Dividend Yield Metric

Parameters:

portfolio - The Factor Portfolio

portfolioRanker - Factor Portfolio Ranker

Returns:

Value Factor Instance based off of the Dividend Yield Metric