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 where the fund is long one group while short another group within a factor. The implications from this important area of investment research is less frequently applied to the construction of long-only taxable equity portfolios. This paper describes how Autumn Wind Asset Management builds equity portfolios based on factor performance and how the factor-based equity selection process changes across different market environments.