Research Spotlight - Foundations of Factor Investing

categories: Indexes, Investing (Investment Management), Asset Owners, Hedge Funds, Research Paper, MELAS Dimitris, AYLUR SUBRAMANIAN Raman, Asset Managers (Quant or Fundamental), BRIAND Remy

This paper discusses the rationale for factor investing and how indexe can be constructed to reflect factor returns in cost-effective and transparent ways. We currently identify six equity risk factors that have historically earned a long-term risk premium and represent exposure to systematic sources of risk: Value, Low Size, Low Volatility, High Yield, Quality and Momentum.


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