Neal Falkenberry, CFA

Constructing Long RIA Equity Portfolios From Factors

This paper describes the behavior of a wide range of equity valuation, growth, profitability, and momentum factors and methods by which to use those those factors to screen companies for inclusion in a lower turnover, long-only equity portfolio. Most research on the topic of factors has focused on long/short strategies suitable only for hedge funds …

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Are Factor Returns Really Sector Returns?

This paper evaluates the behavior of a wide range of factors and proposes a methodology to determine the degree to which a factor’s returns are the result of sector exposures. Evidence shows the majority of factor performance can be explained by the sector weights. This has significant ramifications to hedge fund managers employing long/short strategies …

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