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 ?

Table 4 presents the results when applying the factor portfolio approach.

The impact of liquidity on the cross section of equity returns on the Johannesburg Securities Exchange

Concentration risk arises when any of the assumptions underlying the asymptotic single common factor portfolio model are violated.

Portfolio diversification in concentrated bond and loan portfolios

After adjusting the factor portfolio weights for liquidity, the superiority of low-priced stocks completely evaporated.

The low price effect on the Polish market

By gaining exposure to these six strategies, CS claims that the FX Factor Portfolio can outperform more narrowly-based foreign exchange indices.

FX Factor for Credit Suisse

CAPM tests and alternative factor portfolio composition: Getting the alphas right.

Valuing biotechnology companies: does classification by technology type help?

However, given the absence of such a strong link between the macroeconomic forecast changes and the factor portfolio returns, the direction of causality should not impact the inferences.

Macroeconomic expectations and the size, value, and momentum factors

where [r.sub.d] is the holding period return on day d, [r.sub.fd] is the return of the risk-free portfolio on day d, [[gamma].sub.k] is the day d return of the Ath factor portfolio, and ft- is an estimate of the stock's loading on the Ath factor.

Idiosyncratic volatility and firm-specific news: beyond limited arbitrage

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.

Performance attribution of US institutional investors

Invesco found that while an asset owner often commences their factor journey with a single strategy, as time goes by they tend to implement additional factor strategies and consider how to extend their factor portfolio from equities to fixed income and multi-asset.

Factor allocations and factor applications expanding

For a given point in time, if the EREIT return is perfectly correlated with one of the factor portfolio returns or is a linear combination of the factor portfolio returns, the conditional variance of the idiosyncratic term vanishes and the value of [R.sub.t.sup.2](K) attains unity.

Understanding Equity REITs Returns: An Investment-Based Approach

"We came to the conclusion we had to come up with something that was significantly different from our firm's typical fundamental, high-conviction portfolio," said Allianz Global Investors' Michael Heldmann, head of Best Styles North America, its systematic factor portfolio investing team.

Finding the It Factor: Insurers have rediscovered factor investing, with many forecasting an increase in allocations, while others wonder if it's merely a fad

* 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"