Researcher ORCID Identifier
Date of Submission
Campus Only Senior Thesis
Bachelor of Arts
2023 Jasper T Rosenberg
This thesis presents an innovative Python-based tool designed to advance equity portfolio management using Fama-French 5-factor modeling techniques. The purpose is to use these models for identifying equity baskets with higher return potential; while also taking note of its role in anticipating market behaviors. Methodically, this thesis bridges theoretical financial models with practical portfolio management tools. Through Fama-French 5-factor modeling research and its applications to equity derivative portfolios, this thesis offers fresh perspective while testing its ability to forecast high return opportunities. Key findings of this research demonstrate the practical relevance of Fama-French models in contemporary market situations, specifically through backtester analytics capabilities which highlight its practical utility as a decision making aid for portfolio managers and investment advisors alike. Furthermore, these results underscore their continued relevance to today's markets while opening doors for further innovation within portfolio management strategies. This thesis makes a contribution to financial portfolio management by offering both an innovative tool and extensive analysis along with having long-term ramifications on portfolio strategies through increased risk evaluation and return optimization.
Rosenberg, Jasper, "Development of a Dispersion Back-Tester and Application of the Fama-French 5-Factor Model for Equity Derivative Portfolios" (2024). CMC Senior Theses. 3508.
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.