Course curriculum

  • 1. Introduction

    • 1.1 Introduction

    • 1.2 What is Factor Investing?

  • 2. The Capital Asset Pricing Model

    • 2.1 The CAPM: A One-Factor Model

    • 2.2 Fama-French Three-Factor Model

  • 3. Other Important Factors

    • 3.1 Momentum Factor

    • 3.2 Profitability Factor

    • 3.3 Quality Factor

    • 3.4 Term Factor

    • 3.5 Carry Factor

  • 4. Alternative Investments

    • 4.1 Risk Factor Exposures of Alternative Investments

    • 4.2 Risk Factors for Hedge Funds

  • 5. Implementing a Factor-Based Portfolio

    • 5.1 Example

  • 6. Challenges in Factor-Based Portfolio Construction

    • 6.1 Challenges and Limitations

  • 7. Conclusion

    • 7.1 Conclusion

  • 8. Assessment

    • Instructions

    • Questions