Research, construct and evaluate factor models using cross-sectional regressions, portfolio sorts and risk attribution, with careful handling of biases and multiple testing.
Duration8 weeks
LevelAdvanced
Modules8
Lessons32
This course covers how quantitative researchers build and test factor models that describe the cross-section of asset returns. You will construct factors from point-in-time data, run portfolio sorts and Fama-MacBeth regressions, build statistical factor models with PCA, and decompose portfolio risk and performance by factor exposure. The course stresses survivorship bias, data snooping and robustness checks so that research conclusions are well supported.
8 modules · 32 lessons · 8 weeks. Curriculum preview; the final syllabus may change before enrollment opens.
Build a factor research pipeline that computes, neutralizes and evaluates several factor definitions
Run Fama-MacBeth regressions on a factor set and assess robustness across subperiods
Create a factor risk model and use it to attribute the risk of a sample portfolio
Quantzivo certificates are completion credentials issued by Quantzivo, not accredited qualifications. Courses teach technical and research skills; they do not promise investment returns or provide investment advice.
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