Enterprising Investor
Practical analysis for investment professionals

Factor Investing


Factor Premiums: An Eternal Feature of Financial Markets

These research results should give investors greater confidence in the robustness of factor premiums, reinforcing their utility in crafting effective investment strategies.

Mitigating Economic Risk in Multi-Factor Strategies

Here's a weighting scheme to mitigate economic risks while preserving the benefits of diversified multi-factor strategies.

Implementation Shortfalls Hamstring Factor Strategies

Smart rebalancing rules help portfolio managers capture more of the return that is inherent in their factor strategies. Concentrating on “priority best” trading improves factor portfolio performance.

Climate Transition Risk in European Equity Markets

How can investors assess climate transition risk in their portfolios?

The Low-Volatility Factor and Occam’s Razor

Will the low-volatility premium continue to be the best-kept secret in financial markets?

A More Robust Macro Risk Targeting Strategy for Equities

"It is possible to construct equity portfolios that possess out of sample exposure that facilitate more precise targeting of levels of macroeconomic risk exposure."

How to Build Better Low Volatility Equity Strategies  

Not all low volatility strategies are created equal. Many lack the diversification and risk control needed to guard against concentration and macro risk.

Research and Policy Center Five Most Popular Articles of 2023: Capital Markets

What are the most popular top five articles of 2023 published under the Capital Markets theme by the CFA Institute Research and Policy Center?

Harvesting Equity Premia in Emerging Markets: A Four-Step Process

There is hope for investors seeking a robust emerging market equity strategy to complement their other equity investments.