The project plan represents a very significant step forward for the factorAnalytics package by adding advanced methods to the fundamental factor models (FFM's) and to the time series factor models (TSFM's) functionality of the factorAnalytics package developed in the GSoC 2016 project. Furthermore the project includes the addition of Risk Budgeting (RMRB) and Monitoring Active Managers based on work of Mentor Dr. Tom Philips (see references), with his guidance.

The overarching of the FFM development part of this plan is to replicate a large proportion of the non-proprietary models and model fitting and analysis methodology that is contained in commercial portfolio construction and risk management products such as MSCI Barra, Axioma, Northfield, etc. As such factorAnalytics will provide a platform for empirical research on the use fundamental factor models for improved portfolio performance and risk management, as well as providing a good stepping stone to the use of such a commercial product.

Student

Chindhanai Uthaisaad

Mentors

  • Brian Peterson
  • Kjell Konis
  • Thomas Philips
  • Peter Carl
  • Doug Martin
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2017