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
Question for stats folks
Re: Question for stats folks
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
For Fama-French in particular you could start here: http://www.bogleheads.org/wiki/Fama-Fre ... l_analysis
Re: Question for stats folks
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.
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Re: Question for stats folks
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?
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Re: Question for stats folks
My sense from working for an Investment Consultant is that tools like this are better for sorting than for execution.
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