A Survey of Multi-Factor Models
SHARPE'S SINGLE FACTOR MODEL:
This model is created in an attempt to decompose the returns on a specific asset between alpha, the residual return, and the return correlated with the general excess return from the market. Our experiment begins by creating the single factor model for a variety of etf stocks and the s&p500.
Stocks:
XLB (Materials)
XLE (Energy)
XLF (Financials)
XLI (Industrials)
XLK (Technology)
XLP (Consumer Staples)
XLU (Utilities)
XLV (Health Care)
XLY (Consumer Discretionary)
Time Frame:
January 1, 2000
January 1, 2015