Factor investing is based on the existence of factors that have earned a premium over long
periods, reflect exposure to systematic risk, and are grounded in the academic literature. …

Bender et al. discussed six factors – value, low size, low volatility, high yield, quality and
momentum – that historically have earned a premium over long periods, represent exposure to …

Institutional investors are frequently faced with making a choice between active and passive
management. The ability to select skilled managers who can add value beyond a …

The authors examine how a factor allocation can be integrated into an asset owner's existing
roster of active managers. Using a risk-budgeting framework, they have several findings.(1) …

The potential benefits of global investing are grounded not only in empirical evidence, but also
in modern portfolio theory—in particular the Capital Asset Pricing Model (CAPM), which is …

In constructing portfolios, asset managers, intentionally or otherwise, expose the portfolio to
factor tilts that greatly influence fund performance. But many managers may not be aware of …

The globalization of economies and the integration of capital markets have changed the
landscape for equity investing. Institutional investors are increasingly investing in equities in …

Factor-based investing has become a widely discussed topic of today’s investment canon.
This paper is the fourth in a four-paper series focusing on factor investing1. In the first paper, …

Globalization has brought about a major rethinking of the equity investment. Thought leaders
in the industry are questioning the merit of the existing equity allocation practices and are …

The small cap as a source of equity risk premia has been well documented in finance
literature. Although small-cap stocks are often perceived as risky relative to their large-cap …