Books for Factor Modeling?
- Thread starter bison-q
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Look at the links on the Barra website. I suspect their own research will be of interest.
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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
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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.
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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
by Edward E. Qian et al.
Link: http://a.co/8al4vXA
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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.
Can you elaborate? What areas did you see the most success? (Agency MBS/Credit Index/Liquid rates/OOTR treasuries/TIPS?)
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Nothing related to mortgages, no credit either, Corporates and treasuries.
I did have a Credit model as well but performance was not as good.
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