Tag: multi-factor (Page 1 of 2)
A long-form presentation in which we explore factors (i.e. "smart beta"), covering both the basics of what they and more advanced topics of implementation.
We explore new evidence about interaction effects in composite-based multi-factor portfolios and look into FTSE Russell's Tilt-Tilt integrated approach.
Are integrated multi-factor portfolios more capital efficient than their mixed peers? In this blog post, we prove this statement for some broad assumptions.
The debate rages on between the best way to build a multi-factor portfolio: mixed or integrated? Are integrated portfolios are more capital efficient?
Which approach to building a multi-factor portfolio is best: mixed or integrated? The time-varying nature of factor premiums may be the key determinant.