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A defensive approach to factor portfolios

categories: Research Paper, Americas, Asia Pacific, Australia, EMEAI, ALIGHANBARI Mehdi, SHARMA Shubhangi, Factor and Risk Modeling, Performance Analysis, Risk Management, Asset Managers (Quant or Fundamental), Asset Owners, Indexes, Equities, Fixed Income, Multi-Asset Class

Low-volatility indexes have been attractive to some investors, mainly due to their defensive and low-risk characteristics. This has been especially true in times of market uncertainty and heightened volatility. In this paper we investigate the possibility of incorporating the defensive characteristics of the MSCI Minimum Volatility Indexes into the construction of other factor indexes with the aim of achieving the highest “factor exposure-to-risk ratio.”


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Research-Insight-A-defensive-approach-to factor-portfolios.pdf