Factor Olympics Q1 2018
And the Winner is… SUMMARY 2018 started negative for the majority of factors Momentum, Quality and Growth showed the strongest … Read more
FactorResearch
Factor Exposure Analysis: Dow Jones
Dissecting the Dow SUMMARY Factor exposure should be considered a source of returns as well as of risk Factor biases … Read more
Dividend Yield Combinations
Enhancing Dividend Yield SUMMARY Buying high yielding and selling low yielding stocks is not an attractive strategy Combining Dividend Yield … Read more
Factor Construction: Portfolio Rebalancing
SUMMARY Factor portfolios do not benefit significantly from intra-month rebalancing However, too infrequent rebalancing leads to lower risk-return ratios The … Read more
Sequential Model: Sorting By 5 Factors
Summary The sequential model ranks stocks by factors sequentially Allows investors to prioritise factors and results in concentrated portfolios However, … Read more
Value Factor: Intra Vs Cross-Sector
SUMMARY Intra versus cross-sector Value portfolios share the major trends Neutralising the sector exposure increases the risk-return ratio of the … Read more
What’s In A Factor? Breakdown By Sectors
This research was originally published by the CFA Institute’s Enterprising Investor blog. Here is the link. SUMMARY Some factors show structural sector … Read more
Factor ETFs & Futures
SUMMARY Investors can directly access factor returns via ETFs in the US & futures in Europe However, neither of these … Read more
Factor Allocation Models – Improving Factor Portfolio Efficiency
SUMMARY Factor timing and factor risk management are related concepts, but have different objectives Factors have unique characteristics that require … Read more