trefaktormodel

The trefaktormodel, often translated as the "three-factor model," is a concept primarily discussed in the context of financial economics and investment portfolio management. It refers to a statistical model that attempts to explain the returns of financial assets based on three underlying risk factors. The most well-known version of this model was developed by Eugene Fama and Kenneth French.

The three factors typically identified in the Fama-French model are: the market factor, the size factor, and the value factor. The market factor represents the overall market risk, often proxied by the excess return of a broad market index over the risk-free rate. The size factor, denoted as SMB (Small Minus Big), captures the historical tendency for smaller companies to generate higher returns than larger companies. The value factor, denoted as HML (High Minus Low), represents the tendency for companies with high book-to-market ratios (value stocks) to outperform companies with low book-to-market ratios (growth stocks).

The trefaktormodel posits that the expected return of a stock or portfolio can be explained by its sensitivity or "beta" to these three factors, plus an alpha term that represents any unexplained return. This model provides a framework for understanding why certain assets perform as they do and for constructing portfolios that are diversified across these risk dimensions. While influential, the trefaktormodel has also been subject to extensions and critiques, with researchers proposing additional factors to explain asset returns.