Professional Course

Factor Modeling for Investment Management

London Financial Studies, In New York City (+1 locations)
2 days
4,200 USD
Next course start
2 December, 2024 (+2 start dates)
Classroom, Virtual Classroom
2 days
4,200 USD
Next course start
2 December, 2024 (+2 start dates)
Classroom, Virtual Classroom
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Course description

London Financial Studies

Factor Modeling for Investment Management

Factor models and factor-based investing are changing the way institutional investment managers construct portfolios and analyze risk.

This hands-on program explores key techniques and practical challenges when working with factor models in investment management; as well as reviewing how factor models enable better portfolio risk assessments. Economic as well as statistical aspects will be covered in a balanced manner.

The course features practical applications of all concepts discussed, using Excel models with relevant real-world data.

The Course is For:

  • Quantitative Analysts
  • Risk Managers
  • Portfolio Managers
  • Investment Consultants
  • Financial Economist

Prior Knowledge:

  • Basic understanding of Modern Portfolio Theory (MPT) and statistics
  • Good familiarity with Microsoft Excel

Upcoming start dates

Choose between 2 start dates

2 December, 2024

  • Virtual Classroom
  • Online
  • English

Please contact LFS

  • Classroom
  • New York City

Who should attend?

Learning Objectives:

  • Understand quantitative approaches used in factor modeling today
  • Develop basic factor models for equity, fixed income and multi-asset class portfolios
  • Use factor models in performance & risk analysis as well as asset allocation

London Financial Studies is registered with CFA and GARP Institute as an Approved Provider of continuing education programs. GARP & CFA Institute members attending this course are eligible for CE/CPD credits. 

Training content

Day One


  • Overview factor research and applications: from the CAPM to "Smart Beta"
  • Factor models: fundamental, macroeconomic, statistical, and hybrid
  • Commercial versus custom factor models

Statistical Foundations

  • Linear regression models: assumptions, estimation, analytics (R^2, t-stats, F-test, DW)
  • Cross-section versus time-series regressions in finance
  • Overview advanced regression techniques: non-linear variables, dummy variables, non-linear estimation techniques, time-variable regression parameters

Workshop: Style analysis of a hedge fund

  • Big Data & Data Mining: introduction to LASSO
  • Limits to quantitative analysis: system complexity, data issues, stability, out-of-sample performance

Workshop: Identifying hedge fund performance factors

Statistical Factor Models

  • Understanding principal component analysis (PCA)

Workshops: Inferring the factor structure from single stocks, modeling yield curve dynamics, and identifying extreme scenarios for stress testing purposes

  • Beyond PCA: Introduction to independent component analysis (ICA)

Day Two

Fundamental Factor Modeling

  • Asset pricing and fundamental factors, factor-mimicking portfolios

Workshops: Building a fundamental factor model for an equity portfolio, modeling the momentum factor

Macroeconomic Factor Modeling

  • Real and monetary macroeconomic factors and transmission mechanisms

Workshop: Building a macroeconomic model for a multi-asset class portfolio, extracting factors from macroeconomic data

Applications of Factor Models

  • Performance Analysis
    • Return contributions from factors
    • True alphas & hidden factor exposures

Workshop: Factor performance attribution

  • Risk Management
    • Ex-ante absolute and relative portfolio risk decomposition

Workshop: Factor attribution of absolute and relative portfolio risk

Conclusions and Outlook

Course delivery details

Courses are delivered in the London classroom and live online via LFS Live in London, New York, and Singapore time zones.

Please contact LFS for more details.

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