Hi,
Thanks,
Hello Michael,
You'll most likely find this lecture useful, it implements the original Fama-French factors in the pipeline API.
https://www.quantopian.com/lectures#Fundamental-Factor-Models
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Hi thanks I've already saw this. I'm more specifically interested on whats called Fama-Macbeth method with the construction of 100 portfolios etc. and just trying to figure out what is the best way to implement this procedure because it's little bit tricky. (Actually we are doing this as part of academic research and we found out it will be more easy to code with Quantopian rather than with the Financial Matlab toolbox).
By the way - Besides the above lecture, is there any other related resource I missed? Maybe from some event or something?
Thanks a lot!
I'm not aware of any resources that currently implement that precisely. I actually coordinate academic outreach at Quantopian so I'd be interested to know where you're doing the research if you don't mind me asking. It helps me keep track of who's working on what and what resources may be helpful. For instance if we produce a new lecture and it's related to what someone is working on, we'll do our best to notify them. If you send me an email at [email protected] that would be easiest.
Also, an implementation of Fama-Macbeth regression sounds like it might be a great addition to the lecture series. If you come up with an implementation of it please let us know. If the implementation is nicely written and we have the time, we'd be happy to add it to the lectures with full credit going to whoever wrote it.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
I'm also interested on this topic.
The notebook (https://www.quantopian.com/lectures#Fundamental-Factor-Models) was useful but unclear on the portfolio construction part like where you get your sensitivities from, etc.
I learned more from this video: https://www.youtube.com/watch?v=aeIS8yfW-q4
From what I gather, we solve the linear regression with individual stock return against the FAMA French parameters to get the betas. Then solve the weights for the expected desired portfolio ( eg. small portfolio, high value).
Still trying to build it myself but there's so few reference material on this..
Michael - btw I came across fama-macbeth on Pandas. https://github.com/pandas-dev/pandas/blob/master/pandas/stats/fama_macbeth.py Not much doc around it.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
