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


Author:
Lakshmi Krishnamurthy
  • 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