To make the most of factor investing, understanding how factors work and interact is key. In this research paper, we explain why efficient factor investing requires an understanding of how factor characteristics drive portfolio returns.
Using a characteristics-based multi-factor return model, we analyze the performance of factor-based equity portfolios and show that generic single-factor portfolios are sub-optimal as they ignore the possibility that they may be unattractive from the perspective of other factors. We also show that differences in performance between integrated and mixed-sleeve multi-factor portfolios, small-cap and large-cap factor portfolios, and equal and value-weighted factor portfolios can be fully attributed to the differences in their factor characteristics.
This report is not available for users from countries where the offering of foreign financial services is not permitted, such as US Persons.
Your details are not shared with third parties. This information is exclusively intended for professional investors. All requests are checked.
The information contained in the website is solely intended for professional investors. Some funds shown on this website fall outside the scope of the Dutch Act on the Financial Supervision (Wet op het financieel toezicht) and therefore do not (need to) have a license from the Authority for the Financial Markets (AFM).
The funds shown on this website may not be available in your country. Please select your country website (top right corner) to view the products that are available in your country.
Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.
By clicking Proceed I confirm that I am a professional investor and that I have read, understood and accept the terms of use for this website.