MULTI-FACTOR MODELS 101
Top-Down vs Bottom-Up
FactorResearch publishes a white paper on building multi-factor models.
- Three common approaches for creating multi-factor portfolios are the Combination, the Intersectional and the Sequential models
- The results from the Combination and Intersectional models are comparable in terms of trend
- Each model has its own advantages and disadvantages, the selection will depend on investor preferences