ValueFactorMetrics

java.lang.Object

org.drip.investing.riskindex.ValueFactorMetrics

public class ValueFactorMetrics
extends java.lang.Object

ValueFactorMetrics maintains the various Value Factor Metrics. 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

Field Summary

Fields
Modifier and Type	Field	Description
`static int`	`DIVIDEND_YIELD`	Dividend Yield
`static int`	`PB_RATIO`	P/B Ratio
`static int`	`PE_RATIO`	P/E Ratio
`static int`	`PRICE_TO_BOOK_RATIO`	Price-to-Book Ratio
`static int`	`PRICE_TO_EARNINGS_RATIO`	Price-to-Earnings Ratio
`static int`	`PRICE_TO_SALES_RATIO`	Price-to-Sales Ratio
`static int`	`PS_RATIO`	P/S Ratio

Constructor Summary

Constructors

Constructor Description

ValueFactorMetrics()
Method Summary

Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Details
- PRICE_TO_EARNINGS_RATIO
  
  public static final int PRICE_TO_EARNINGS_RATIO
  
  Price-to-Earnings Ratio
  
  See Also:
  
  Constant Field Values
- PE_RATIO
  
  public static final int PE_RATIO
  
  P/E Ratio
  
  See Also:
  
  Constant Field Values
- PRICE_TO_BOOK_RATIO
  
  public static final int PRICE_TO_BOOK_RATIO
  
  Price-to-Book Ratio
  
  See Also:
  
  Constant Field Values
- PB_RATIO
  
  public static final int PB_RATIO
  
  P/B Ratio
  
  See Also:
  
  Constant Field Values
- PRICE_TO_SALES_RATIO
  
  public static final int PRICE_TO_SALES_RATIO
  
  Price-to-Sales Ratio
  
  See Also:
  
  Constant Field Values
- PS_RATIO
  
  public static final int PS_RATIO
  
  P/S Ratio
  
  See Also:
  
  Constant Field Values
- DIVIDEND_YIELD
  
  public static final int DIVIDEND_YIELD
  
  Dividend Yield
  
  See Also:
  
  Constant Field Values
Constructor Details
- ValueFactorMetrics
  
  public ValueFactorMetrics()