MSCI: Multi-Factor Indexes Made Simple - A Review Of Static And Dynamic Approaches

Factor investing is gaining rapid acceptance by institutional and retail investors alike. Investors who were attracted by the long-term outperformance of risk premia generally started with single factor allocations. However, factor index returns1 have been cyclical and their active returns are weakly correlated. As a result, investors are increasingly turning their attention towards multi-factor index allocations. Not only have their returns been smoother, but historically they have offered a

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