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Integrating factors in market indexes and active portfolios

Asset owners use indexes as policy benchmarks and reference portfolios in their asset allocation. Index investors track cap-weighted indexes that seek to capture the market return. Active investors select securities and build portfolios that aim to outperform the market. All these types of investors may be able to benefit from incorporating factors into their process. More importantly, they may also be able to integrate factors without compromising other fundamentally important aspects of their strategies. In this Research Insight, we examine options for these institutional investors. ©2019 Pageant Media. Republished with permission of IPR Journal, from “Integrating Factors in Market Indexes and Active Portfolios.” Dimitris Melas, Zoltán Nagy, Navneet Kumar, and Peter Zangari. Vol. 45, No. 6, 2019.