I have been studying fundamental factor models to develop a quantitative investment strategy.
Some factors that could indicate high quality stocks have already been selected but, before applying those factor for practical test (portfolio return), I decided to make a complete statistical analysis. I would like to identify factor loads, quality (how they explain historical returns), and eliminate typical issues as multicollinearity, for instance.
I realized that this is not an easy path, and I faced some roadblocks. I have made broad and in-depth research on factor models and quantitative strategies but, unfortunately, papers and discussions focus only on factors (how they outperform market, but no detailed information regarding the statistical approach for these outcome) or plain statistics (just formulas but no practical example of their application). Despite being essential to this subject, they do not provide detailed information on factor-model construction, a real “step-by-step” framework.
Could you help me indicating sources that would help me to develop, analyze, prototype, test a fundamental factor model using solid statistical background?