Practical analysis for investment professionals

Factor Investing


Why Equity Factors? A 4×4 Goal-Based Perspective

The 4×4 Asset Allocation philosophy approaches every asset or strategy based on how it contributes to — or detracts from — Growth, Income, Preservation, and Liquidity. So, what does a goal-based approach to equity factors actually look like from this perspective?

Does Bond Market Data Yield Equity Alpha?

Equity portfolios constructed using bond momentum signals may outperform their traditional equity price momentum counterparts.

Factor Portfolios and Cap-Weighted Benchmarks: Bridging the Tracking Error Gap

Can we retain the benefits and economically sound basis of a factor approach to equity investing while more closely aligning a factor portfolio’s performance to a cap-weighted benchmark?

Factor Performance: Will the Comeback Persist?

The relative outperformance of equity risk factors was one of 2022's rare bright spots.

The Size Factor Matters for Actual Portfolios

The size factor contributes to portfolio diversification and risk control.

ESG (In)Efficiency

Passive ESG investing has become increasingly active. It’s time for a rethink.

Conservatism: De-Risking the Profitability Factor

By combining Profitability and Conservatism, we can reduce a portfolio's downside risk and enhance its risk-adjusted returns over the long run.

Sector and Factor Performance in Wartime

How do stocks -- specifically sectors and factors -- perform during times of war?

Growth, Value, and Skewness: Are Growth Stocks a Lottery-Like Bet?

How does skewness in returns relate to other factors in asset pricing?

Outperformance Ain’t Alpha

Outperformance and alpha are not exactly the same thing. So, how do we explain the difference?