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What is Pure Factor Portfolio Methodologies about?

This article presents methodologies for constructing pure factor portfolios that isolate exposure to a single factor through multivariate regression analysis. It constructs primary portfolios for six factors - value, momentum, size, low beta, profitability, and bond beta - using a weighting formula that incorporates market capitalization and standardized factor exposures. The article shows that pure factor portfolios eliminate secondary exposures while still achieving the long-term performance of the underl

Author

J M

Language

EN