Facts About Factors

6 Apr 2015
By MIT Sloan School of Management

This paper examines the potential advantages of factor allocation, taking into account the fact that the reasoning behind doing so is often misguided. The authors examine the sources of error that would indicate why investors would choose to allocate their portfolios to factors instead of assets. The authors also tested whether factor allocation provides noise-reduction benefits or stability benefits, and factor allocation failed to offer either of those two benefits.

Read Full Report

More in Factors / Risk Premia
- Demystifying Time-Series Momentum Strategies - May 08, 2017
- Big Data and Investment Management - December 31, 2015
- Liquidity Buckets, Liquidity Indices, Liquidity Duration - January 31, 2008

Send Us Feedback

Who We Are

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.