Extended Viewer

Measuring factor exposures

categories: Americas, Asia Pacific, Australia, EMEAI, GUPTA Abhishek, LODH Ashish, Factor and Risk Modeling, Investing (Investment Management), Performance Analysis, Portfolio Construction and Optimization, Risk Management, Asset Managers (Quant or Fundamental), Asset Owners, Indexes, Portfolio Management Analytics, Equities

Accurately estimating factor exposures for stocks and portfolios can be economically relevant and may improve the investment process for a variety of investors, including asset owners, quantitative managers, wealth managers and risk managers. Methods for measuring exposures vary, however. We provide a comparative analysis of two such techniques — one based on time-series regression models, the other on observable firm characteristics.


Download file

Research-Insight-How-to-measure-factor-exposures.pdf