Factor Models: A Study Plan

Factor models are a useful starting point for thinking about risk, return, and portfolio construction.

My study plan is to begin with market beta, move to multi-factor models, then focus on how factors are estimated, tested, combined, and monitored through time.

The practical questions matter most: whether a factor is persistent, whether it survives transaction costs, how it behaves under stress, and whether it improves a portfolio after accounting for correlation with existing signals.