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Features:
 - Risk Index Momentum Factor CRSP (1, 2) - Investing Factors Factor Model Shell (4, 5) - Investing Factors Factor Model - Code (6, 7) - Investing Factors Factor Model - Description (8, 9) - Investing Factors Factor Model - Set (10, 11) - Investing Factors Factor Model - Constructor (12, 13, 14) - Investing Factors Factor Model - Map (15, 16) - Investing Factors Factor Model - Add (17, 18, 19) - Investing Factors Factor Model - Contains (20, 21) - Investing Factors Factor Model - Set (22, 23) - Investing Factors Factor Model - Code Set (24, 25) - Investing Risk Index Market Factor (26, 27) - Investing Risk Index Market Factor - Constructor (28, 29, 30) - Investing Factor Component Loading Category (31, 32) Bug Fixes/Re-organization: - Eliminate Factor Index Category #1 (33, 34) - Eliminate Factor Index Category #2 (35, 36) - Special Function Lanczos Estimator (37, 38, 39) - Special Function Lanczos Estimator - A Series (40, 41) - Special Function Lanczos Estimator - Constructor (42, 43) - Special Function Lanczos Estimator - Evaluate (44, 45, 46) - Special Function Lanczos Estimator - Series Estimate Native (47) - Special Function Log Gamma Binet Integral First Kind Estimator (48, 49, 50) - Special Function Log Gamma Binet Integral First Kind Estimator - Constructor (51) - Special Function Log Gamma Binet Integral First Kind Estimator - Evaluate (52, 53, 54) - Special Function Log Gamma Binet Integral Second Kind Estimator (55, 56) - Special Function Log Gamma Binet Integral Second Kind Estimator - Constructor (57) - Special Function Log Gamma Binet Integral Second Kind Estimator - Evaluate (58, 59, 60) Samples: IdeaDRIP: - Factor Investing SKU v0.04 - 08:47 28 Feb 2024 (3)
1 parent 4955b3f commit e5ee1ac

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-123
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‎IdeaDRIP/FactorInvesting/FI_v0.03

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Factor Investing
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----------------
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1) Security Characteristics - aka Factors: Size, Low-volatility, Value, Momentum, Asset growth, Profitability, Leverage, Liquidity, Term, Carry - DONE
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2) Beta Tilt Direction - Towards (+ve), Away (-ve)
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3) Risk Premia Category - Corporates, Govvies, Equity, Commodities - DONE
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4) Value Factor - Difference between Intrinsic/Fundamental Value and Market Value - DONE
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5) Value Factor Metrics - P/E Ratio, P/B Ratio, P/S Ratio, Dividend Yield - DONE
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6) Low-volatility Factor - Portfolio acquires only low-volatility assets - DONE
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7) Momentum Factor - High returns over past 3-12 months minus Low returns over past 3-12 months, Returns Horizon, Momentum Lag - DONE
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8) Momentum Factor caused by seasonality (e.g., January effect) - DONE
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Fama-French Three-Factor Model
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------------------------------
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1) Three Factors - Market Excess Return, Outperformance of Small versus Big Cap, Outperformance of High/low book-to-market (value)
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2) Market Factor - PRESENT/ABSENT
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3) Accounting Manipulation Proxy Factor - Replacement for the Value Factor
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4) CAPM - Single Factor, i.e., Market Factor
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5) Factor Component Loading - Weight, Returns, Score, Category - DONE
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6) Portfolio Type - Zero Investment or Zero Cost (Self Financing) - DONE
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7) Factor Portfolio - Asset Map of Factor Component Loading, Country, Is Global, Portfolio Type - DONE
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8) Factor Portfolio Ranker - Factor Component Loading vs Score Ordered Map, Component Ranking Scheme, Re-ranked Components, Top List, Bottom List, Weight Sign - DONE
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9) Factor - Code, Description, Metric Type, Factor Portfolio - DONE
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10) Factor Model - Model Code, Model Description, Collection of Factors
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11) Asset Factor Loading - Factor Returns, Factor, Asset Factor Beta, Beta Tilt Direction
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12) Factor Regressor - Asset Specification - DONE
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13) Risk Free Setting - Instrument (Treasury/LIBOR/OIS/SOFR), Tenor (e.g., 3M), Rate
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14) Factor Regressor Output - Collection of Asset Factor Loading, Factor Risk Free Premia, Alpha, Asset Returns, Asset Risk Premia
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15) Factor Regressor Function - Apply Risk Free Setting to Factor Regressor to generate Factor Regressor Output
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16) CAPM One-Factor Model - Market Factor
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17) Fama-French Three-Factor Model - Market Factor, Size Factor, Value Factor
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18) Mramor-Pahor Three-Factor Model - Market Factor, Size Factor, Accounting Manipulation Proxy Factor
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19) Fama-French Five-Factor Model - Market Factor, Size Factor, Value Factor, Profitability Factor, Investing Factor
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Carhart Four-Factor Model
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------------------------------
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1) Four Factors - Market Excess Return, Outperformance of Small versus Big Cap, Outperformance of High/low book-to-market (value), Momentum Factor
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2) Market Portfolio Name - CRSP - DONE
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3) MOM Portfolio Name - UMD 12M winners minus 12M losers - DONE

‎IdeaDRIP/FactorInvesting/FI_v0.04

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Factor Investing - DONE
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-----------------------
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-----------------------
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1) Security Characteristics - aka Factors: Size, Low-volatility, Value, Momentum, Asset growth, Profitability, Leverage, Liquidity, Term, Carry - DONE
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2) Risk Premia Category - Corporates, Govvies, Equity, Commodities - DONE
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3) Value Factor - Difference between Intrinsic/Fundamental Value and Market Value - DONE
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4) Value Factor Metrics - P/E Ratio, P/B Ratio, P/S Ratio, Dividend Yield - DONE
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5) Low-volatility Factor - Portfolio acquires only low-volatility assets - DONE
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6) Momentum Factor - High returns over past 3-12 months minus Low returns over past 3-12 months, Returns Horizon, Momentum Lag - DONE
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7) Momentum Factor caused by seasonality (e.g., January effect) - DONE
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Fama-French Three-Factor Model
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------------------------------
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1) Three Factors - Market Excess Return, Outperformance of Small versus Big Cap, Outperformance of High/low book-to-market (value)
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2) Market Factor - PRESENT/ABSENT - DONE
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3) Accounting Manipulation Proxy Factor - Replacement for the Value Factor
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4) CAPM - Single Factor, i.e., Market Factor
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5) Factor Component Loading - Weight, Returns, Score, Category - DONE
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6) Portfolio Type - Zero Investment or Zero Cost (Self Financing) - DONE
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7) Factor Portfolio - Asset Map of Factor Component Loading, Country, Is Global, Portfolio Type - DONE
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8) Factor Portfolio Ranker - Factor Component Loading vs Score Ordered Map, Component Ranking Scheme, Re-ranked Components, Top List, Bottom List, Weight Sign - DONE
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9) Factor - Code, Description, Metric Type, Factor Portfolio - DONE
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10) Factor Model - Model Code, Model Description, Collection of Factors - DONE
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11) Asset Factor Loading - Factor Returns, Factor, Asset Factor Beta, Beta Tilt Direction
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12) Factor Regressor - Asset Specification - DONE
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13) Risk Free Setting - Instrument (Treasury/LIBOR/OIS/SOFR), Tenor (e.g., 3M), Rate
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14) Factor Regressor Output - Collection of Asset Factor Loading, Factor Risk Free Premia, Alpha, Asset Returns, Asset Risk Premia
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15) Factor Regressor Function - Apply Risk Free Setting to Factor Regressor to generate Factor Regressor Output
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16) CAPM One-Factor Model - Market Factor
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17) Fama-French Three-Factor Model - Market Factor, Size Factor, Value Factor
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18) Mramor-Pahor Three-Factor Model - Market Factor, Size Factor, Accounting Manipulation Proxy Factor
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19) Fama-French Five-Factor Model - Market Factor, Size Factor, Value Factor, Profitability Factor, Investing Factor
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Carhart Four-Factor Model
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------------------------------
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1) Four Factors - Market Excess Return, Outperformance of Small versus Big Cap, Outperformance of High/low book-to-market (value), Momentum Factor
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2) Market Portfolio Name - CRSP - DONE
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3) MOM Portfolio Name - UMD 12M winners minus 12M losers - DONE

‎IdeaDRIP/FactorInvesting/FI_v0.05

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Factor Investing - DONE
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-----------------------
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-----------------------
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1) Security Characteristics - aka Factors: Size, Low-volatility, Value, Momentum, Asset growth, Profitability, Leverage, Liquidity, Term, Carry - DONE
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2) Risk Premia Category - Corporates, Govvies, Equity, Commodities - DONE
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3) Value Factor - Difference between Intrinsic/Fundamental Value and Market Value - DONE
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4) Value Factor Metrics - P/E Ratio, P/B Ratio, P/S Ratio, Dividend Yield - DONE
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5) Low-volatility Factor - Portfolio acquires only low-volatility assets - DONE
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6) Momentum Factor - High returns over past 3-12 months minus Low returns over past 3-12 months, Returns Horizon, Momentum Lag - DONE
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7) Momentum Factor caused by seasonality (e.g., January effect) - DONE
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Fama-French Three-Factor Model
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------------------------------
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1) Three Factors - Market Excess Return, Outperformance of Small versus Big Cap, Outperformance of High/low book-to-market (value)
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2) Market Factor - PRESENT/ABSENT - DONE
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3) Accounting Manipulation Proxy Factor - Replacement for the Value Factor
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4) CAPM - Single Factor, i.e., Market Factor
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5) Factor Component Loading - Weight, Returns, Score, Category - DONE
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6) Portfolio Type - Zero Investment or Zero Cost (Self Financing) - DONE
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7) Factor Portfolio - Asset Map of Factor Component Loading, Country, Is Global, Portfolio Type - DONE
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8) Factor Portfolio Ranker - Factor Component Loading vs Score Ordered Map, Component Ranking Scheme, Re-ranked Components, Top List, Bottom List, Weight Sign - DONE
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9) Factor - Code, Description, Metric Type, Factor Portfolio - DONE
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10) Factor Model - Model Code, Model Description, Collection of Factors - DONE
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11) Asset Factor Loading - Factor Returns, Factor, Asset Factor Beta, Beta Tilt Direction
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12) Factor Regressor - Asset Specification - DONE
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13) Risk Free Setting - Instrument (Treasury/LIBOR/OIS/SOFR), Tenor (e.g., 3M), Rate
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14) Factor Regressor Output - Collection of Asset Factor Loading, Factor Risk Free Premia, Alpha, Asset Returns, Asset Risk Premia
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15) Factor Regressor Function - Apply Risk Free Setting to Factor Regressor to generate Factor Regressor Output
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16) CAPM One-Factor Model - Market Factor
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17) Fama-French Three-Factor Model - Market Factor, Size Factor, Value Factor
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18) Mramor-Pahor Three-Factor Model - Market Factor, Size Factor, Accounting Manipulation Proxy Factor
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19) Fama-French Five-Factor Model - Market Factor, Size Factor, Value Factor, Profitability Factor, Investing Factor
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Carhart Four-Factor Model
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------------------------------
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1) Four Factors - Market Excess Return, Outperformance of Small versus Big Cap, Outperformance of High/low book-to-market (value), Momentum Factor
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2) Market Portfolio Name - CRSP - DONE
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3) MOM Portfolio Name - UMD 12M winners minus 12M losers - DONE

‎ReleaseNotes/08_10_2023.txt

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Features:
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- Risk Index Momentum Factor CRSP (1, 2)
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- Investing Factors Factor Model Shell (4, 5)
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- Investing Factors Factor Model - Code (6, 7)
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- Investing Factors Factor Model - Description (8, 9)
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- Investing Factors Factor Model - Set (10, 11)
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- Investing Factors Factor Model - Constructor (12, 13, 14)
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- Investing Factors Factor Model - Map (15, 16)
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- Investing Factors Factor Model - Add (17, 18, 19)
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- Investing Factors Factor Model - Contains (20, 21)
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- Investing Factors Factor Model - Set (22, 23)
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- Investing Factors Factor Model - Code Set (24, 25)
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- Investing Risk Index Market Factor (26, 27)
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- Investing Risk Index Market Factor - Constructor (28, 29, 30)
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- Investing Factor Component Loading Category (31, 32)
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Bug Fixes/Re-organization:
21+
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- Eliminate Factor Index Category #1 (33, 34)
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- Eliminate Factor Index Category #2 (35, 36)
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- Special Function Lanczos Estimator (37, 38, 39)
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- Special Function Lanczos Estimator - A Series (40, 41)
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- Special Function Lanczos Estimator - Constructor (42, 43)
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- Special Function Lanczos Estimator - Evaluate (44, 45, 46)
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- Special Function Lanczos Estimator - Series Estimate Native (47)
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- Special Function Log Gamma Binet Integral First Kind Estimator (48, 49, 50)
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- Special Function Log Gamma Binet Integral First Kind Estimator - Constructor (51)
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- Special Function Log Gamma Binet Integral First Kind Estimator - Evaluate (52, 53, 54)
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- Special Function Log Gamma Binet Integral Second Kind Estimator (55, 56)
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- Special Function Log Gamma Binet Integral Second Kind Estimator - Constructor (57)
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- Special Function Log Gamma Binet Integral Second Kind Estimator - Evaluate (58, 59, 60)
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Samples:
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IdeaDRIP:
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- Factor Investing SKU v0.04 - 08:47 28 Feb 2024 (3)

‎ScheduleSheet.xlsx

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‎src/main/java/org/drip/investing/factors/Factor.java

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private String _description = "";
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private FactorPortfolio _portfolio = null;
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private int _metricType = Integer.MIN_VALUE;
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private int _factorCategory = Integer.MIN_VALUE;
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private FactorPortfolioRanker _portfolioRanker = null;
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/**
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* @param code Factor Code
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* @param description Factor Description
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* @param metricType Factor Metric Type
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* @param factorCategory Factor Category
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* @param portfolio Factor Portfolio
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* @param portfolioRanker Factor Portfolio Ranker
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*
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final String code,
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final String description,
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final int metricType,
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final int factorCategory,
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final FactorPortfolio portfolio,
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final FactorPortfolioRanker portfolioRanker)
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throws Exception
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_metricType = metricType;
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_description = description;
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_factorCategory = factorCategory;
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}
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/**
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return _metricType;
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}
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/**
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* Retrieve the Factor Category
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*
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* @return The Factor Category
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*/
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public int factorCategory()
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{
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return _factorCategory;
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}
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/**
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* Retrieve the Factor Portfolio
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*

‎src/main/java/org/drip/investing/factors/FactorComponentLoading.java

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private double _weight = Double.NaN;
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private double _returns = Double.NaN;
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private int _assetType = Integer.MIN_VALUE;
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private int _factorCategory = Integer.MIN_VALUE;
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private int _riskPremiumCategory = Integer.MIN_VALUE;
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/**
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* FactorComponentLoading Constructor
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*
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* @param assetID Asset ID
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* @param assetType Asset Type
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* @param factorCategory Factor Category
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* @param riskPremiumCategory Risk Premium Category
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* @param weight Factor Weight
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* @param returns Factor Returns
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public FactorComponentLoading (
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final String assetID,
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final int assetType,
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final int factorCategory,
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final int riskPremiumCategory,
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final double weight,
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final double returns,
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}
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_assetType = assetType;
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_factorCategory = factorCategory;
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_riskPremiumCategory = riskPremiumCategory;
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}
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return _assetType;
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}
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/**
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* Retrieve the Factor Category
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*
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* @return The Factor Category
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*/
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public int factorCategory()
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{
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return _factorCategory;
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}
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/**
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* Retrieve the Risk Premium Category
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*

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