Hello all, I’m having difficulty in understanding how one would calculate a fundamental factor model in practice. Specifically coming up with the standardized betas first and then estimating the factor returns second through a regression.

Suppose you were modelling a mutual fund’s return through a fundamental factor model. In order to get the factor sensitivities would you not have to know how the entire universe of mutual funds’ have behaved relative to, for example, the HML factor? It feels like I’m missing something.