Deploying Multi-Factor Index Allocations

categories: Indexes, SUBRAMANIAN Madhusudan, BENDER Jennifer, Research Paper, MELAS Dimitris, Indexes, AYLUR SUBRAMANIAN Raman

Factor investing has become a widely discussed part of today’s investment canon. This paper is the second in a three-paper series focusing on factor investing. In the first paper, "Foundations of Factor Investing," we discussed six factors - Value, Low Size, Momentum, Low Volatility, Yield, and Quality - that historically have earned a premium over long periods, represent exposure to systematic sources of risk, and have strong theoretical foundations. We also discussed how they can be captured through indexation. In this paper, we turn to the question of how institutional investors interested in factor investing may allocate to and across factors.


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Deploying_Multi_Factor_Index_Allocations_in_Institutional_Portfolios.pdf