Five-Factor Asset Pricing Model Analysis

A Regression based analysis of the Five-Factor Asset Pricing Model

Source: https://i.stack.imgur.com/QFMZo.png

Using the dataset from Eugene Fama and Kenneth French’s 2013 paper “A Five-Factor Asset Pricing Model”,

1. Visually analyze the covariance between various factors and identify the variance explained in principle components of these factors.

%%opts Curve [width=800 height=300] NdOverlay [legend_position='right']
pd.melt(month_TBill.add(1).cumprod().reset_index(), id_vars=['Date']).hvplot.line(y='value', x='Date', by='variable')
covariance=month_TBill[['Mkt-RF','SMB','HML','RMW','CMA','RF']].cov()
covariance