Books for Factor Modeling?

[bison-q]

Dumb question:

Where can I find books on factor modeling? Are they all inside the portfolio management books?

 

[Ken Abbott]

Look at the links on the Barra website. I suspect their own research will be of interest.

 

[pingu]

Dumb question:

Where can I find books on factor modeling? Are they all inside the portfolio management books?

good old Grinold and Khan

Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk
by Richard C. Grinold et al.
Link: http://a.co/hvnMsI4

 

[somya harjai]

You can find white paper on Barra's website. If we you want to understand basics there are some good tutorials by MIT professors on factor modelling on Youtube.

 

[pingu]

Quantitative Equity Portfolio Management: Modern Techniques and Applications (Chapman and Hall/CRC Financial Mathematics Series)
by Edward E. Qian et al.
Link: http://a.co/8al4vXA

 

[bison-q]

Thanks, all. I'll take a look.

In the mean time, how much factor modeling work do you see in FX? EM Fixed Income?

 

[pingu]

Thanks, all. I'll take a look.

In the mean time, how much factor modeling work do you see in FX? EM Fixed Income?

we never tried in FX nor in EM. I'm sure you can come up with some sort of model but they are going to be a lot of macroeconomic factors involved and tons of flying by the seat of the pants (at least in the FX space, maybe I'm wrong).

We did used it in Fixed Income with certain degree of success. However, you will need tons of data if you want to get close to what BARRA does.

 

[bison-q]

We did used it in Fixed Income with certain degree of success. However, you will need tons of data if you want to get close to what BARRA does.

Can you elaborate? What areas did you see the most success? (Agency MBS/Credit Index/Liquid rates/OOTR treasuries/TIPS?)

 

[pingu]

Can you elaborate? What areas did you see the most success? (Agency MBS/Credit Index/Liquid rates/OOTR treasuries/TIPS?)

Nothing related to mortgages, no credit either, Corporates and treasuries.

I did have a Credit model as well but performance was not as good.