We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Control and Transparency in Factor Portfolio Implementation.
- Authors
Xihao Feng; Gupta, Tarun; Protchenko, Sergey; Roscovan, Viorel; Sun, Jerry
- Abstract
This article navigates the landscape of factor investing, and dissects various methodologies that aim to strategically align factor investor goals and objectives with effective portfolio construction. We explore three distinct approaches--ranking-based, mean-variance optimization, and model portfolio--and assess their performance in achieving a factor investor's objectives of equal allocation to value, momentum, and quality factors under long-only constraints. Our findings highlight the model portfolio approach as the most effective, offering a balanced risk-return tradeoff and superior alignment with investor objectives. Through comprehensive simulations and analyses, we underscore the model portfolio's resilience, transparency, and consistency in translating theoretical factor exposures into practical, investor-aligned portfolios.
- Publication
Journal of Beta Investment Strategies, 2024, Vol 15, Issue 1, p39
- ISSN
2771-6511
- Publication type
Academic Journal
- DOI
10.3905/jbis.2024.1.056