Risk and Return of Factor Portfolios
Research Paper
March 10, 2013
Preview
Pure factor portfolios have unit exposure to the particular factor, and zero exposure to all other factors. Such portfolios, however, are not uniquely specified because they depend on the regression weighting scheme used for their construction. In this Research Insight, we investigate the risk and return characteristics of pure factor portfolios under several different regression weighting schemes.
Read the full paper
Read the full paper
Provide your information for instant access to our research papers.
The content of this page is for informational purposes only and is intended for institutional professionals with the analytical resources and tools necessary to interpret any performance information. Nothing herein is intended to recommend any product, tool or service. For all references to laws, rules or regulations, please note that the information is provided “as is” and does not constitute legal advice or any binding interpretation. Any approach to comply with regulatory or policy initiatives should be discussed with your own legal counsel and/or the relevant competent authority, as needed.