Factor portfolio

Factor portfolio

A well-diversified portfolio constructed to have a beta of 1.0 on one factor and a beta of zero on any other factors.
References in periodicals archive ?
By gaining exposure to these six strategies, CS claims that the FX Factor Portfolio can outperform more narrowly-based foreign exchange indices.
In the Fama-French factor-based asset pricing model, expected stock returns are contingent on the stock's sensitivity to three priced factors: the excess return of the market portfolio over the risk-free rate, the return of the size (SMB) factor portfolio, and the return of the book-to-market (HML) factor portfolio.
mt], indicates the monthly CRSP value-weighted index return; SMB (small-minus-big) is the monthly size factor portfolio return; HML (high-minus-low) is the monthly book-to-market related factor portfolio return; and UMD (up-minus-down) is the monthly momentum factor portfolio return.
ORF Genetics has built a reputation for offering the first plant-made, endotoxin-free and animal-free growth factor portfolio for stem cell researchers.
Moving International Growth Fund assets to the newly added International Factor Portfolio
Moving International Value Fund assets to the newly added International Factor Portfolio
Our new small form factor devices, like the rest of our small form factor portfolio, offer a very small footprint without sacrificing performance," said Derrell Coker, vice president of Silicon Laboratories.
Introduced during the last 60 days, these drives expand Hitachi's notebook form factor portfolio for the OEM and reseller markets to include capacity points from 810 MB to 2.
These new strategies are innovative because they allow investors to create their own customized factor portfolios," explains Rey Santodomingo, Director of Investment Strategy -- Tax Managed Equities.
Gerard Hoberg, University of Maryland, and Ivo Welch, Brown University and NBER, "Better Factor Portfolios and Pricing Book-to-Market Characteristics with the Fama-French Factor Model"
The next step is to link these more fundamentally determined factors with the empirically more successful value and small-firm factor portfolios.
These indexes also will be the first to consider essential issues relating to how such factor portfolios should be implemented in practice," Ceria said.