RESEARCH: FACTOR EXPOSURE

WHITE PAPER: FACTOR OPTIMISATION

  • Equity factors exhibit sector biases and exposures to other common factors
  • A factor optimisation process allows investors to create pure factors
  • Risk-adjusted returns do not increase, but pure factors are attractive from analytical, risk and allocation perspectives

FACTOR EXPOSURE: SMART BETA ETFS VS MUTUAL FUNDS

  • Investors can express factor views via smart beta ETFs or mutual funds
  • Some mutual funds offer higher factor exposure than smart beta ETFs
  • Given higher fees, strong views on expected factor performance are required

FACTOR EXPOSURE ANALYSIS: DOW JONES

  • Factor exposure should be considered a source of returns as well as of risk
  • Factor biases can be measured top-down or bottom-up
  • The results of the two approaches do not necessarily reconcile

HEDGE FUND FACTOR EXPOSURE & ALTERNATIVES

  • Equity hedge fund returns have been disappointing over the last 14 years
  • An exposure analysis shows no structural factor exposure, but frequent factor rotation
  • Multi-factor long-short products are an interesting alternative, depending on the fee level

Join Others and Subscribe to our Research

You have Successfully Subscribed!

Share This