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You are on page 1of 33

Eric Zivot

University of Washington

BlackRock Alternative Advisors

Outline

1. Introduction

Introduction

Factor models for asset returns are used to

Decompose risk and return into explanable and unexplainable components

Generate estimates of abnormal return

Describe the covariance structure of returns

Predict returns in specified stress scenarios

Provide a framework for portfolio risk analysis

(a) Factors are observable economic and financial time series

(a) Factors are created from observerable asset characteristics

(a) Factors are unobservable and extracted from asset returns

The three types of multifactor models for asset returns have the general form

Rit = i + 1if1t + 2if2t + + KifKt + it

= i + 0ift + it

(1)

Rit is the simple return (real or in excess of the risk-free rate) on asset i

(i = 1, . . . , N ) in time period t (t = 1, . . . , T ),

fkt is the kth common factor (k = 1, . . . , K),

ki is the factor loading or factor beta for asset i on the kth factor,

it is the asset specific factor.

Assumptions

1. The factor realizations, ft, are stationary with unconditional moments

E[ft] = f

cov(ft) = E[(ft f )(f t f )0] = f

2. Asset specific error terms, it, are uncorrelated with each of the common

factors, fkt,

cov(fkt, it) = 0, for all k, i and t.

3. Error terms it are serially uncorrelated and contemporaneously uncorrelated across assets

cov(it, js) = 2i for all i = j and t = s

= 0, otherwise

Notation

Vectors with a subscript t represent the cross-section of all assets

R1t

..

Rt =

, t = 1, . . . , T

(N 1)

RNt

Ri1

.

Ri =

. , i = 1, . . . , N

(T 1)

RiT

Matrix of all assets over all time periods (columns = assets, rows = time period)

R11 RN 1

.

..

...

R = .

(T N)

R1T RNT

The multifactor model (1) may be rewritten as a cross-sectional regression

model at time t by stacking the equations for each asset to give

Rt =

+ B

ft + t ,

(N 1) (N K)(K1) (N1)

(N 1)

01

11 1K

..

...

B

= .. = ..

(N K)

N1 NK

0N

E[t0t|ft] = D = diag( 21, . . . , 2N )

t = 1, . . . , T

(2)

The multifactor model (1) may also be rewritten as a time-series regression

model for asset i by stacking observations for a given asset i to give

Ri = 1T i + F

i + i , i = 1, . . . , N

(T K)(K1)

(T 1)

(T 1)

(T 1)(11)

f0

f11 fKt

..1

.

..

...

F

=

=

(T K)

fT0

f1T fKT

E[i0i] = 2i IT

Note: Time series homoskedasticity

(3)

Multivariate Regression

Collecting data from i = 1, . . . , N allows the model (3) to be expressed as the

multivariate regression

[R1, . . . , RN ] = 1T [1, . . . , N ] + F[1, . . . , N ] + [1, . . . , N ]

or

0 + F

B0 + E

(T

K)

(T N)

(1T

)

(KN)

(T 1)

= X0 + E

"

#

0

0

.

= [1T . F],

=

,

X

B0

(T (K+1))

((K+1)N )

R

(T N )

1T

expressed as the multivariate regression

[R1, . . . , RT ] = [, . . . , ] + B[f1, . . . , fT ] + [1, . . . , T ]

or

R0

(N T )

10T +

(N 1)(1T )

F0

(N K)(KT )

0 + E0

= X

"

#

10T

0

X

=

= [ .. B],

0 ,

F

(N (K+1))

((K+1)T )

E0

(N T )

E[Rit] = i + 0iE[ft]

0iE[ft] = explained expected return due to systematic risk factors

i = E[Rit] 0iE[ft] = unexplained expected return (abnormal return)

Note: Equilibrium asset pricing models impose the restriction i = 0 (no

abnormal return) for all assets i = 1, . . . , N

Covariance Structure

Using the cross-section regression

Rt = + B

ft + t , t = 1, . . . , T

(N 1) (NK)(K1) (N 1)

(N1)

and the assumptions of the multifactor model, the (N N ) covariance matrix

of asset returns has the form

cov(Rt) = F M = Bf B0 + D

Note, (4) implies that

var(Rit) = 0if i + 2i

cov(Rit, Rjt) = 0if j

(4)

Portfolio Analysis

Let w = (w1, . . . , wn) be a vector of portfolio weights (wi = fraction of

wealth in asset i). If Rt is the (N 1) vector of simple returns then

Rp,t = w0Rt =

N

X

wiRit

i=1

Rt

Rp,t

p

var(Rp,t)

= + Bf t + t

= w0, 0p = w0B, p,t = w0t

= 0pf p + var(p,t) = w0Bf B0w + w0Dw

Active portfolios have weights that change over time due to active asset

allocation decisions

Static portfolios have weights that are fixed over time (e.g. equally weighted

portfolio)

Factor models can be used to analyze the risk of both active and static

portfolios

Rit = i + 0ift + it

Econometric problems:

Choice of factors

Estimate factor betas, i, and residual variances, 2i , using time series

regression techniques.

Sharpes single factor model is a macroeconomic factor model with a single

market factor:

Rit = i + iRMt + it, i = 1, . . . , N ; t = 1, . . . , T

(5)

where RMt denotes the return or excess return (relative to the risk-free rate)

on a market index (typically a value weighted index like the S&P 500 index) in

time period t.

Risk-adusted expected return and abnormal return

E[Rit] = iE[RMt]

i = E[Rit] iE[RMt]

F M = 2M 0 + D

(6)

where

2M = var(RMt)

= ( 1, . . . , N )0

D = diag(21, . . . , 2N ),

2i = var(it)

Estimation

Because RMt is observable, the parameters i and 2i of the single factor

model (5) for each asset can be estimated using time series regression (i.e.,

ordinary least squares) giving

b +

b i, i = 1, . . . , N

b i1T + RM

Ri =

i

b = cov(R

d

d

iM /

2M

it, RMt)/var(R

Mt) =

i

iR

M

i

bi = R

1

b2

b0 bi

i =

T 2 i

The estimated single factor model covariance matrix is

0

bb

b

c

b2

FM =

M + D

Remarks

1. Computational eciency may be obtained by using multivariate regression.

The coecients i and i and the residual variances 2i may be computed

in one step in the multivariate regression model

R = X0 + E

The multivariate OLS estimator of 0 is

b 0 = (X0X)1X0R0.

1 b0b

b =

EE

T 2

0

= R X

where E

b are the diagonal elements of D

c.

diagonal elements of

market risk, and 1 R2 is a measure of asset specific risk. Additionally,

b i is a measure of the typical size of asset specific risk. Given the variance

decomposition

var(Rit) = 2i var(RMt) + var(it) = 2i 2M + 2i

R2 can be estimated using

R2 =

2i

2M

d

var(R

it)

robust estimate of 2M could be computed.

4. The single factor covariance matrix (6) is constant over time. This may

not be a good assumption. There are several ways to allow (6) to vary

over time. In general, i, 2i and 2M can be time varying. That is,

i = it, 2i = 2it, 2M = 2Mt.

To capture time varying betas, rolling regression or Kalman filter techniques

could be used. To capture conditional heteroskedasticity, GARCH models

may be used for 2it and 2Mt. One may also use exponential weights in

computing estimates of it, 2it and 2Mt. A time varying factor model

covariance matrix is

0

b b

b

c

b2

F M,t =

Mt t t + Dt,

Model specifies K observable macro-variables

Rit = i + 0ift + it

Chen, Roll and Ross (1986) provides a description of commonly used

macroeconomic factors for equity. Lo (2008) discusses hedge funds.

Sometimes the macroeconomic factors are standardized to have mean zero

and a common scale.

The factors must be stationary (not trending).

Sometimes the factors are made orthogonal.

Estimation

Because the factor realizations are observable, the parameter matrices B and

D of the model may be estimated using time series regression:

b +

b i = X

b i1T + F

Ri =

+ bi, i = 1, . . . , N

i

0

0

.

i) = (X0X)1X0Ri

X = [1T . F],

= (

i,

1

b2

b0ibi

i =

T K 1

The covariance matrix of the factor realizations may be estimated using the

time series sample covariance matrix

T

T

1 X

1 X

0

(ft f )(ft f ) , f =

ft

T 1 t=1

T t=1

The estimated multifactor model covariance matrix is then

b =

b

b b b0

c

F M = Bf B + D

(7)

Remarks

1. As with the single factor model, robust regression may be used to compute

i and 2i . A robust covariance matrix estimator may also be used to

compute and estimate of f .

2. F M can be made time varying by allowing i, f and 2i (i = 1, . . . , N )

to be time varying

Berndt (1991).

Fundamental factor models use observable asset specific characteristics (fundamentals) like industry classification, market capitalization, style classification

(value, growth) etc. to determine the common risk factors.

is known)

In practice, fundamental factor models are estimated in two ways.

BARRA Approach

and is discussed at length in Grinold and Kahn (2000), Conner et al (2010),

and Cario et al (2010).

In this approach, the observable asset specific fundamentals (or some transformation of them) are treated as the factor betas, i, which are time

invariant.

problem is then to estimate the factor realizations at time t given the factor

betas. This is done by running T cross-section regressions.

Fama-French Approach

This approach was introduced by Eugene Fama and Kenneth French (1992).

For a given observed asset specific characteristic, e.g. size, they determined

factor realizations using a two step process. First they sorted the crosssection of assets based on the values of the asset specific characteristic.

Then they formed a hedge portfolio which is long in the top quintile of the

sorted assets and short in the bottom quintile of the sorted assets. The

observed return on this hedge portfolio at time t is the observed factor

realization for the asset specific characteristic. This process is repeated for

each asset specific characteristic.

Given the observed factor realizations for t = 1, . . . , T, the factor betas

for each asset are estimated using N time series regressions.

Consider a single factor model in the form of a cross-sectional regression at

time t

Rt =

ft + t , t = 1, . . . , T

(N1)

(N 1)

(N 1)(11)

is an N 1 vector of observed values of an asset specific attribute (e.g.,

market capitalization, industry classification, style classification)

var(ft) = 2f ; cov(ft, it) = 0, for all i, t; var(it) = 2i , i = 1, . . . , N.

Estimation

For each time period t = 1, . . . T, the vector of factor betas, , is treated as

data and the factor realization ft, is the parameter to be estimated. Since the

error term t is heteroskedastic, ecient estimation of ft is done by weighted

least squares (WLS) (assuming the asset specific variances 2i are known)

ft,wls = (0D1)10D1Rt, t = 1, . . . , T

(8)

= diag( 21, . . . , 2N )

computed

1)10D

1Rt, t = 1, . . . , T

ft,f wls = (0D

= diag(

21, . . . ,

2N )

D

Note 2: Other weights besides

2i could be used

The WLS estimate of ft in (8) has an interesting interpretation as the return

on a portfolio h = (h1, . . . , hN )0 that solves

1

min h0Dh subject to h0 = 1

h 2

The portfolio h minimizes asset return residual variance subject to having unit

exposure to the attribute and is given by

h0 = (0D1)10D1

The estimated factor realization is then the portfolio return

ft,wls = h0Rt

When the portfolio h is normalized such that

factor mimicking portfolio.

PN

i hi = 1, it is referred to as a

Consider a stylized BARRA-type industry factor model with K mutually exclusive industries. The factor sensitivities ik in (1) for each asset are time

invariant and of the form

ik = 1 if asset i is in industry k

= 0, otherwise

and fkt represents the factor realization for the kth industry in time period t.

The factor betas are dummy variables indicating whether a given asset is

in a particular industry.

The estimated value of fkt will be equal to the weighted average excess

return in time period t of the firms operating in industry k.

The industry factor model with K industries is summarized as

Rit = i1f1t + + iK fKt + it, i = 1, . . . , N ; t = 1, . . . , T

var(it) = 2i , i = 1, . . . , N

cov(it, fjt) = 0, j = 1, . . . , K; i = 1, . . . , N

f

cov(fit, fjt) = ij , i, j = 1, . . . , K

where

ik = 1 if asset i is in industry k (k = 1, . . . , K)

= 0, otherwise

It is assumed that there are Nk firms in the kth industry such

PK

k=1 Nk = N .

Consider the cross-section regression at time t

Rt = 1f1t + + K fKt + t,

= Bf t + t

0

E[tt] = D, cov(ft) = f

Since the industries are mutually exclusive it follows that

0j k = Nk for j = k, 0 otherwise

An unbiased but inecient estimate of the factor realizations ft can be obtained

by OLS:

1 PN1

1

N1 i=1 Rit

..

..

b

ft,OLS = (B0B)1B0Rt =

1 PNK K

fbKt,OLS

NK i=1 Rit

fb1t,OLS

Given (bf1,OLS, . . . , bfT,OLS), the covariance matrix of the industry factors may

be computed as the time series sample covariance

bF

OLS =

f OLS =

T

1 X

(bft,OLS f OLS)(bft,OLS f OLS)0,

T 1 t=1

T

1 X

b

ft,OLS

T t=1

The residual variances, var(it) = 2i , can be estimated from the time series

b t,OLS, t =

of residuals from the T cross-section regressions as follows. Let

1, . . . , T , denote the (N 1) vector of OLS residuals, and let bit,OLS denote

b t,OLS. Then 2

the ith row of

i may be estimated using

b2

i,OLS =

T

1 X

(bit,OLS i,OLS)2, i = 1, . . . , N

T 1 t=1

T

1 X

i,OLS =

bit,OLS

T t=1

The covariance matrix of the N assets is estimated using

0

b

bF

c

c

b2

where D

OLS is a diagonal matrix with

i,OLS along the diagonal.

The OLS estimation of the factor realizations ft is inecient due to the

cross-sectional heteroskedasticity in the asset returns.

The estimates of the residual variances may be used as weights for weighted

least squares (feasible GLS) estimation:

b

c1 B)1B0D

c1 R , t = 1, . . . , T

ft,GLS = (B0D

OLS

OLS t

T

1 X

bF

=

(bft,GLS f GLS)(bft,GLS f GLS)0

GLS

T 1 t=1

T

1 X

b2

=

(bit,GLS i,GLS)2, i = 1, . . . , N

i,GLS

T 1 t=1

0

b

bF

c

In statistical factor models, the factor realizations ft in (1) are not directly

observable and must be extracted from the observable returns Rt using

statistical methods. The primary methods are factor analysis and principal

components analysis.

Traditional factor analysis and principal component analysis are usually

applied to extract the factor realizations if the number of time series observations, T , is greater than the number of assets, N .

If N > T , then the sample covariance matrix of returns becomes singular

which complicates traditional factor and principal components analysis. In

this case, the method of asymptotic principal component analysis is more

appropriate.

Traditional factor and principal component analysis is based on the (N N )

sample covariance matrix

1 0

b

N = RR

T

(N N )

where R is the (N T ) matrix of observed returns.

matrix

1

b

RR0.

T =

N

(T T )

Factor Analysis

Traditional factor analysis assumes a time invariant orthogonal factor structure

Rt =

+ B

ft + t

(N 1)

(N 1) (NK)(K1) (N 1)

cov(ft, s)

E[ft]

var(ft)

var(t)

=

=

=

=

(9)

0, for all t, s

E[t] = 0

IK

D

where D is a diagonal matrix with 2i along the diagonal. Then, the return

covariance matrix, , may be decomposed as

= BB0+D

Hence, the K common factors ft account for all of the cross covariances of

asset returns.

Variance Decomposition

For a given asset i, the return variance variance may be expressed as

var(Rit) =

K

X

2ij + 2i

j=1

nality,

PK

2

j=1 ij , is called the commu-

The orthogonal factor model (9) does not uniquely identify the common factors

ft and factor loadings B since for any orthogonal matrix H such that H0= H1

Rt = + BHH0ft + t

= + Bft + t

where B= BH, ft= H0ft and var(ft) = IK .

Because the factors and factor loadings are only identified up to an orthogonal

transformation (rotation of coordinates), the interpretation of the factors may

not be apparent until suitable rotation is chosen.

Estimation

Estimation using factor analysis consists of three steps:

matrix D.

Rotation of coordinate system to enhance interpretation

Maximum likelihood estimation of B and D is performed under the assumption

that returns are jointly normally distributed and temporally iid.

b and D

c, an empirical version of the factor model (2) may be

Given estimates B

constructed as

b +

b = Bf

bt

Rt

t

(10)

b is the sample mean vector of Rt. The error terms in (10) are hetwhere

eroskedastic so that OLS estimation is inecient.

ft

Estimation of Factor Realizations

Using (10), the factor realizations in a given time period t, ft, can be estimated

using the cross-sectional feasible weighted least squares (FWLS) regression

b

b 0D

c1B

b )1B

b 0D

c1(R

b)

ft,f wls = (B

t

(11)

Performing this regression for t = 1, . . . , T times gives the time series of factor

realizations (bf1, . . . , bfT ).

bF = B

bB

b0 + D

c

Using the maximum likelihood estimates of B and D based on a Kfactor

b , a likelihood ratio test (modified

model and the sample covariance matrix

for improved small sample performance) of the adequacy of K factors is of the

form

1

2

b | ln |B

bB

b0 + D

c| .

LR(K) = (T 1 (2N + 5) K) ln |

6

3

freedom.

Remarks:

b , and makes

normal estimator of , usually the sample covariance matrix

b . A likelihood ratio test is often used to select K

inference on K based on

under the assumption that it is normally distributed (see below). However,

when N consistent estimation of , an N N matrix, is not a well

defined problem. Hence, if N is large relative to T , then traditional factor

analysis may run into problems. Additionally, typical algorithms for factor

analysis are not ecient for very large problems.

Traditional factor analysis is only appropriate if it is cross-sectionally uncorrelated, serially uncorrelated, and serially homoskedastic.

Principal Components

Principal component analysis (PCA) is a dimension reduction technique

used to explain the majority of the information in the sample covariance

matrix of returns.

With N assets there are N principal components, and these principal

components are just linear combinations of the returns.

The principal components are constructed and ordered so that the first

principal component explains the largest portion of the sample covariance

matrix of returns, the second principal component explains the next largest

portion, and so on. The principal components are constructed to be orthogonal to each other and to be normalized to have unit length.

In terms of a multifactor model, the K most important principal components are the factor realizations. The factor loadings on these observed

factors can then be estimated using regression techniques.

Let Rt denote the N 1 vector of returns with N N covariance matrix

= E[(Rt E[Rt])(Rt E[Rt])0]. Consider creating factors from the

linear combinations (portfolios) of returns

f1t = p01Rt = p11R1t + + p1N RNt

..

fNt = p0N Rt = pN 1R1t + + pNN RNt

Note:

var(fkt) = p0k pk , cov(fjt, fkt) = p0j pk

The principal components are those uncorrelated factors f1t, f2t, . . . , fNt whose

variances are as large as possible.

The first population principal component is p0

1 Rt where the (N 1) vector

p1 solves

max p01p1 s.t. p01p1 = 1.

p1

2 Rt where the (N 1) vector p2 solves

1 p2 = 0

p2

The solution p2 is the eigenvector associated with the second largest eigenvalue

of . This process is repeated until all N principal components are computed.

= PP0

P

= [p1 .. p2 .. .. pN ], P0 = P1

(N N )

is the diaganol matrix of ordered eigen-values

Variance Decomposition

N

X

i=1

var(Rit) =

N

X

var(fit) =

i=1

N

X

i=1

i

PN

i=1 i

P

gives the proportion of the total variance N

i=1 var(Rit) attributed to the ith

principal component factor return, and the ratio

PK

i=1 i

PN

i=1 i

determining the number of factors to use to explain the covariance structure of

returns.

Sample principal components are computed from the spectral decompositon of

N when N < T :

the N N sample covariance matrix

N = P

P

0

0 = P

1

= [p

1 .. p

2 .. .. p

N ], P

P

(N N )

= diag(

1, . . . ,

N ),

1 >

2 > >

N

The estimated factor realizations are simply the first K sample principal components

fbkt = p

0

k Rt, k = 1, . . . , K.

ft = (f1t, . . . , fKt)0

(12)

The factor loadings for each asset, i, and the residual variances, var(it) =

2i can be estimated via OLS from the time series regression

ft + it, t = 1, . . . , T

Rit = i + 0i

(13)

b and

b2

giving

i

i for i = 1, . . . , N . The factor model covariance matrix of

returns is then

where

and

b

b b b0

c

F M = Bf B + D

0

b = ..

c=

, D

B

0

b

N

b =

(14)

b2

0

0

1

.

.

. 0

0

,

2

bN

0

T

T

1 X

1 X

0

b

b

b

(ft f )(ft f ) , f =

ft

T 1 t=1

T t=1

Since each sample principal component (factor), ftk , is a linear combinations

of the returns, it is possible to construct portfolios that are perfectly correlated

k vectors

with the principal components by re-normalizing the weights in the p

so that they sum to unity. Hence, the weights in the factor mimicking portfolios

have the form

!

1

w

k =

p

k , k = 1, . . . , K

(15)

0

1N p

k

where 1 is a (N 1) vector of ones, and the factor mimicking portfolio returns

are

k0 Rt

Rk,t = w

in Conner and Korajczyk (1986), is similar to traditional PCA except that

it relies on asymptotic results as the number of cross-sections N (assets)

grows large.

b . Conner

APCA is based on eigenvector analysis of the T T matrix

T

b is

and Korajczyk prove that as N grows large, eigenvector analysis of

T

asymptotically equivalent to traditional factor analysis. That is, the APCA

b . Specifically,

estimates of the factors ft are the first K eigenvectors of

T

b

let F denote the orthornormal K T matrix consisting of the first K

b . Then b

b.

ft is the tth column of F

eigenvectors of

T

It works in situations where the number of assets, N , is much greater

than the number of time periods, T . Eigenvectors of the smaller T T

b only need to be computed, whereas with traditional principal

matrix

T

b

component analysis eigenvalues of the larger N N matrix

N need to

be computed.

The method allows for an approximate factor structure of returns. In an

approximate factor structure, the asset specific error terms it are allowed

to be contemporaneously correlated, but this correlation is not allowed

to be too large across the cross section of returns. Allowing an approximate factor structure guards against picking up local factors, e.g. industry

factors, as global common factors.

from the data.

If traditional factor analysis is used, then there is a likelihood ratio test for

the number of factors. However, this test will not work if N > T .

number of factors in an approximate factor model that is valid for N > T .

Bai and Ng (2002) proposed an information criteria that is easier and more

reliable to use.

Bai and Ng (2002) propose some panel Cp (Mallows-type) information criteria

for choosing the number of factors. Their criteria are based on the observation

b or

b

that eigenvector analysis on

T

N solves the least squares problem

min (N T )1

i,f t

T

N X

X

(Rit i 0ift)2

i=1 t=1

Bai and Ngs model selection or information criteria are of the form

b 2(K) + K g(N, T )

IC(K) =

b 2(K) =

N

1 X

b2

N i=1 i

where

for each asset based on a model with K factors and g(N, T ) is a penalty

function depending only on N and T .

The preferred model is the one which minimizes the information criteria IC(K)

over all values of K < Kmax. Bai and Ng consider several penalty functions

and the preferred criteria are

N +T

NT

ln

,

N

T

N

+

T

N +T

2

2

2

b (K) + K

b (Kmax)

ln CNT

,

P Cp2(K) =

N

T

CNT = min( N , T )

b 2(K) + K

b 2(Kmax)

P Cp1(K) =

Algorithm

First, select a number Kmax indicating the maximum number of factors to be

considered. Then for each value of K < Kmax, do the following:

1. Extract realized factors bft using the method of APCA.

2. For each asset i, estimate the factor model

Rit = i + 0ibftK + it,

where the superscript K indicates that the regression has K factors, using

time series regression and compute the residual variances

b2

i (K) =

T

X

1

b2it.

T K 1 t=1

for each asset based on a model with K factors

b 2(K) =

N

1 X

b2

(K)

N i=1 i

b 2(Kmax).

for each asset based on a model with Kmax factors,

5. Compute the information criteria P Cp1(K) and P Cp2(K).

Bai and Ng perform an extensive simulation study and find that the selection

criteria P Cp1 and P Cp2 yield high precision when min(N, T ) > 40.

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