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Medium · data_manipulation · Quant Researcher interview question · factor-models, fama-french, ols, regression, data-manipulation, numpy
The Fama-French 3-factor model is a cornerstone of asset pricing and performance attribution in quantitative finance. It explains asset or portfolio excess returns using three factors: market risk (Mkt-RF), size (SMB), and value (HML). This allows quants to decompose returns, assess risk exposures, and evaluate manager skill (alpha) net of these common factor influences. Task Implement the function solution(excess_returns: listfloat, mkt_rf: listfloat, smb: listfloat, hml: listfloat) -> dict to