MULTI-FACTOR MODEL
A financial model which uses numerous variable in its calculations to demonstrate market equilibrium and/or phenomena in asset prices. This model can be used to rationalize either an underlying security or a portfolio of securities by assimilating two or more variables to assess relationships between these factors and its performance.
Variables are measured using this formula:
Ri = ai + βi(m) Rm + βi(1)F1 + βi(2)F2 +…+βi(N)FN + ei
Where:
Ri = returns of security i Rm = the market revenue F(1,2,3…N) = every factors used β = the beta with respect to every factor including the market (m) e = the error term a = the intercept
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ECONOMIC CALENDAR
| Time | Country | Indices | Period |
|---|---|---|---|
| 06:30 | Tertiary Industry Index | Apr | |
| 08:00 | Wholesale Price Index | May | |
| 08:30 | Producer & Import Prices | May | |
| 09:00 | SECO Consumer Confidence | May | |
| 10:00 | Trade Balance | Apr | |
| 11:00 | Current Account (sa) | Apr | |
| 11:00 | Industrial Production | Apr | |
| 14:15 | Housing Starts | May | |
| 14:30 | NY Fed Empire State manufacturing index | Jun |
