Factor Investing: Value, Momentum, Quality & Smart Beta
Score a stock universe on value, momentum and quality, build z-score composites and quintile portfolios, measure long-short returns, run CAPM and Fama-French-style LINEST regressions, price turnover and summarise a backtest: 8 graded labs. Educational only, not investment advice.
The first lesson is free — no account needed.
About this course
A factor investing course that builds a small smart-beta strategy from raw data in a spreadsheet, for investors, finance students and analysts who want to see how factor premiums are measured. You turn a synthetic 20-stock universe into a price-to-book value rank, 12-1 momentum and ROE quality, standardise them into z-scores and a 40/30/30 composite, sort the stocks into quintile portfolios and measure their next-month returns, build a long-short Q1 minus Q5 return with its hit rate and t-statistic, estimate CAPM beta and alpha with SLOPE and INTERCEPT, read a fund's market beta, value tilt and alpha from a Fama-French-style LINEST regression, price the turnover and trading-cost drag of monthly rebalancing and summarise a 36-month backtest with CAGR, volatility, Sharpe ratio and maximum drawdown. Educational only, not investment advice. The first lab is free.
Lessons
- Factor Scores: P/B Value Rank, 12-1 Momentum & ROE QualityFree
- Z-Scores & a Weighted Multi-Factor Composite Pro
- Quintile Portfolios: Rank → Bucket → Average Return Pro
- Long-Short Factor Return: Q1 minus Q5, Hit Rate & t-Stat Pro
- CAPM Beta & Alpha with SLOPE and INTERCEPT Pro
- Multi-Factor Regression with LINEST (Fama-French Style) Pro
- Rebalancing Turnover & Trading-Cost Drag Pro
- Backtest Summary: CAGR, Volatility, Sharpe & Max Drawdown Pro