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Introducing factorE

November 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.

Caia Whitepaper Image

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.

Smart Beta Schwab2

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.

Ff Five Factor

Fama/French Five-Factor Equity Model

April 7, 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.

Smart Beta Schwab1

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

Aqr Contrarian

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.

Acc Stresstesting

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.

Last Smart Beta Paper 1 Pdf

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