A free primer on equity factor models: exposures, factor returns, risk, attribution, portfolio construction, and hedging.https://itsjustbeta.com/enhttps://itsjustbeta.com/chapters/01-introduction/https://itsjustbeta.com/chapters/01-introduction/Why equity risk needs a factor model: a 3,000-stock covariance matrix has 4.5 million parameters, more than any return history can estimate reliably.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/02-the-factor-model-equation/https://itsjustbeta.com/chapters/02-the-factor-model-equation/The factor model equation r = Xf + ε: exposures, factor returns, and specific returns, and how it gives portfolio risk through Σ = XFXᵀ + Δ.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/03-factors-and-exposures/https://itsjustbeta.com/chapters/03-factors-and-exposures/Where the exposure matrix comes from: market, industry, and style factors, how raw company data becomes descriptors, and how exposures are standardized.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/04-model-types/https://itsjustbeta.com/chapters/04-model-types/Time-series (macroeconomic), fundamental (Barra-style), and statistical (PCA) factor models: what each observes, what each estimates, and where each is used.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/05-universes/https://itsjustbeta.com/chapters/05-universes/Estimation universe vs coverage universe: which stocks a factor model learns from, which it must describe, and how IPOs, ADRs, and suspended names are handled.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/06-estimating-factor-returns/https://itsjustbeta.com/chapters/06-estimating-factor-returns/The cross-sectional regression that turns exposures into factor returns: cap-weighted WLS, the industry constraint, and the time series a risk model is built on.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/07-factor-portfolios/https://itsjustbeta.com/chapters/07-factor-portfolios/Every estimated factor return is the return of a long-short portfolio: pure factor portfolios, their weights and leverage, and the link to factor investing.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/08-risk-model-assembly/https://itsjustbeta.com/chapters/08-risk-model-assembly/From factor return history to risk forecast: EWMA covariance estimation, shrinkage, specific risk, and how to tell whether the forecasts are any good.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/09-risk-attribution/https://itsjustbeta.com/chapters/09-risk-attribution/Decomposing portfolio volatility and tracking error by factor and by position: marginal contributions, unintended bets, and the reports risk managers read daily.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/10-performance-attribution/https://itsjustbeta.com/chapters/10-performance-attribution/Factor-based performance attribution: decomposing realized active return into factor and specific contributions, and linking periods without breaking the accounting.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/11-explaining-risk-changes/https://itsjustbeta.com/chapters/11-explaining-risk-changes/Why risk reports change month over month: separating what trading did, what the market did, and what the model did to exposures and tracking error.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/12-portfolio-construction/https://itsjustbeta.com/chapters/12-portfolio-construction/Mean-variance optimization with a factor risk model: factor exposure constraints, why optimizers exploit covariance errors, and alpha-risk misalignment.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/13-hedging/https://itsjustbeta.com/chapters/13-hedging/Removing unwanted factor exposures with overlay instruments (futures, ETFs, swaps, baskets) while leaving the stock book and its intended bets intact.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/14-alpha-research/https://itsjustbeta.com/chapters/14-alpha-research/Testing whether a signal is genuine alpha or repackaged factor exposure: decompose it against the exposure matrix and keep only the orthogonal part.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/15-model-evaluation/https://itsjustbeta.com/chapters/15-model-evaluation/A factor model is fit or unfit for a purpose: calibrated risk forecasts, attribution fidelity, optimizer robustness, and the tests for each.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/16-modifying-the-model/https://itsjustbeta.com/chapters/16-modifying-the-model/Every change you can make to a factor model, from new factors and universes to single-name overrides, and which ones re-run the cross-sectional regression.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/17-practical-considerations/https://itsjustbeta.com/chapters/17-practical-considerations/The four-fifths of factor modeling that isn't math: point-in-time data, corporate actions, security masters, and the pitfalls that quietly corrupt backtests.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/18-appendix/https://itsjustbeta.com/chapters/18-appendix/Reference material: the series-wide notation table, the least-squares family in one place, key derivations, and cross-chapter numerical checkpoints.Sun, 19 Jul 2026 21:28:52 GMThttps://itsjustbeta.com/chapters/19-mini-example-source-code/https://itsjustbeta.com/chapters/19-mini-example-source-code/The complete NumPy source of the ten-stock MiniModel: deterministic code that reproduces every number quoted across the primer's chapters.Sun, 19 Jul 2026 21:28:52 GMT