Question for stats folks

Discuss all general (i.e. non-personal) investing questions and issues, investing news, and theory.
Post Reply
Topic Author
Kelly
Posts: 498
Joined: Sun Nov 18, 2012 6:39 am

Question for stats folks

Post by Kelly »

I'd like to better understand the FF 3 factor regression. While I was strong in college stats, after 30 years all I can recall is standard deviation, bell curve an some other basics. My question: if I was to get a stats text book what subjects should I study so that I could understand FF regression and T and P stats?

Many thanks for any suggestions!

Kelly
dbr
Posts: 46181
Joined: Sun Mar 04, 2007 8:50 am

Re: Question for stats folks

Post by dbr »

You would start on the topic of regression analysis: https://en.wikipedia.org/wiki/Regression_analysis

For Fama-French in particular you could start here: http://www.bogleheads.org/wiki/Fama-Fre ... l_analysis
kolea
Posts: 1322
Joined: Fri Jul 11, 2014 5:30 pm
Location: Maui and Columbia River Gorge

Re: Question for stats folks

Post by kolea »

Understanding the math is important but I would put more emphasis on assessing whether a theory built upon past performance is going to have enough stability to behave the same in the future. The underlying distributions and moments are not likely to be stable over time. What effect does that have on the application of the theory?
Kolea (pron. ko-lay-uh). Golden plover.
User avatar
saltycaper
Posts: 2650
Joined: Thu Apr 24, 2014 8:47 pm
Location: The Tower

Re: Question for stats folks

Post by saltycaper »

Don't forget to study the data you are using in your analysis. The stats don't mean much if the data is flawed. (Not implying that it is, but you should decide this for yourself.)
Quod vitae sectabor iter?
User avatar
pondering
Posts: 1127
Joined: Fri Jan 30, 2015 10:04 pm
Location: 412-977-3526, originally 718-273-2422
Contact:

Re: Question for stats folks

Post by pondering »

My sense from working for an Investment Consultant is that tools like this are better for sorting than for execution.
--Robert Sterbal | robert@sterbal.com | 412-977-3526
Post Reply