We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk … factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in … quant trading with much shorter holding horizons is suboptimal: (1) longer horizon risk factors (value, growth, etc …

factor models and use it in risk assessments. We consider a class of approximate factor models in which the candidate … priced for expected returns of Fama and French 100 size and book-to-market ratio portfolios. We find that while the risk from … proposed method can be adopted on evaluating value at risk (VaR) and find it can delivery comparable results as the …

Fama-French portfolios for the US markets and report that the risk factors cannot definitively identify assets with higher … average returns though they may help in identifying those with lower average risk. Further, using both Fama-French portfolios …