Regression analysis is used all the time to assess how a portfolio “loads” on certain factors. The most common factor loadings examined are the market, size, value, and momentum factors. This can be ...

The lambda value of the iteration history indicates that Newton steps can always be performed. Because no singular Hessian matrices (which can slow down the convergence rate considerably) are computed ...

We show that active equity funds deliberately alter their factor loadings rather than maintaining a constant style. Changes are larger following quarters in which funds either under- or out-perform ...

The singular Hessian matrix of the unidentified problem slows down the convergence rate of the Levenberg-Marquardt algorithm considerably. Compared to the unidentified problem with 30 iterations, the ...

Why Should Investors Care About Factor Exposures? Investors have become increasingly focused on how to harvest returns in an efficient way. A big part of that process involves understanding the ...

Let's use this classical statistics technique -- and some R, of course -- to get to some of the latent variables hiding in your data. Factor analysis is a classical statistics technique that examines ...