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CFA on a time series data

Posted: Mon Nov 05, 2018 2:31 am
by QUANT007
Hi,

I have a query regarding CFA on a financial time series data. My data has 5 dimensions and a total of 19 reflective indicators. There are 27 data points per year and a total of 270 data points. Please advise on the following:

1. Can we use it for a time-series data?

2. Should outliers be retained - some ratios have strange value like -190 for a couple of stocks.

3. Do the thresholds for the different metrics vary for a time-series data?

Thanks.

Re: CFA on a time series data

Posted: Mon Nov 05, 2018 8:29 am
by admin
Just three posts below (viewtopic.php?f=12&t=19634) is a similar question with answers that are also valuable to you. Please also use the search function of the forum. Many questions have already been answered.

Re: CFA on a time series data

Posted: Wed Nov 07, 2018 12:07 pm
by QUANT007
Thanks for the reply. I had read that link but my data is structured a little differently. Hence, posted the query.