Are Factor Returns Really Sector Returns?
June 5, 2019
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
Research
Constructing Equity Portfolios From Factors
April 5, 2019
This paper describes the behavior of a wide range of equity valuation, growth, profitability, and momentum factors and methods to screen those factors to identify
