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Fama/French Five-Factor Equity Model
April 22, 2019 Size Value Equity Factors Defensive
In 2014, Eugene Fama and Ken French released a paper that addresses factors uncovered in their original research from 20 years prior: Investment and Operating Profitability. Momentum and Low Volatility, two common risk factors for many practitioners today, were left out of the equation. Read their paper and see the results from 50 years of test data.

Introducing factorE
March 16, 2018 Factor Portfolio Management
An introduction to factorE as a concept, why we created it, and the purposes it can serve for financial professionals and their clients.

10 Things Everyone Should Know about Smart Beta (Schwab)
March 24, 2019 Whitepapers Equity Factors
10 Things we should all know about smart beta. A great, fast read.

Exploring Dynamic Factor-Based Categorization of Alternatives (CAIA)
October 12, 2018
This CAIA-sponsored paper addresses the potential to use factor loadings as the basis for categorization.

Strategic Beta Strategies: An evaluation of different approaches
March 22, 2019 Whitepapers
Discusses several different types of strategic beta strategies available in the market, provides a high-level comparison of their weighting methodologies and explores biases or tilts.

Measuring Factor Exposures: Uses and Abuses (JAI)
March 16, 2018 Size Value Equity Factors Factor Research Momentum
This piece provides a brief history of factors, and details the academic literature surrounding factors observed across the equity markets.

Factor-Based Investing (Vanguard)
March 19, 2018 Size Value Equity Factors Credit Defensive Duration Factor Research Fixed Income Factors Momentum
An excellent primer on factor based investing. It covers the history and evolution behind the academic works that serve as today’s foundation for a factor based portfolio risk framework

Foundations of Factor Investing (MSCI)
March 19, 2018 Size Value Equity Factors Defensive Momentum
A primer from industry experts at MSCI covering: 1) What are factors; 2) How to apply factor research in analyzing managers; and 3) Factor cyclicality

Contrarian Factor Timing is Deceptively Difficult (AQR)
March 19, 2018
The piece dives much deeper into the cyclicality of factors and provides insightful information for portfolio managers. Primarily, the paper addresses tactical shift in factors vs a strategic factor risk allocation.

The Importance of Stress Testing (AlphaCore)
March 19, 2018
This piece briefly discusses why stress testing in portfolios is such an important part of the investment management process.

The Last Smart Beta Paper You’ll Ever Read (Various)
March 19, 2018
A review of smart beta, calculating factor exposures and other aspects of factor investing. Written by various firms/authors