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The growth-factor premium: Seeking a systematic approach for capturing it

categories: Research Paper, Americas, Asia Pacific, Australia, EMEAI, ALIGHANBARI Mehdi, MELAS Dimitris, SHARMA Shubhangi, Asset Allocation and Asset Liability Management, Factor and Risk Modeling, Investing (Investment Management), Performance Analysis, Portfolio Construction and Optimization, Asset Managers (Quant or Fundamental), Asset Owners, Hedge Funds, Indexes, Equities, Multi-Asset Class

While used extensively by active managers as part of their security-selection decisions, the growth factor has been largely left out of the factor-index investing landscape, at least in its simplest form. This paper explores why and offers a way to capture this factor with a systematic, rules-based approach.

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