Strategy Note /
Global

FACTOR CONSTRUCTION: PORTFOLIO SCENARIOS

    FactorResearch
    10 September 2021
    Published byFactorResearch
    1. Most researchers create factor portfolios by taking the top & bottom 30% of stocks, which results in large portfolios
    2. Portfolios can be reduced, but firm risks start influencing factor returns with too few stocks
    3. Most investors are likely better of buying factor products then building factor portfolios themselves