Set of several stocks having different degree of risk exposure to different types of economic factors such as changes in interest rates, inflation, and/or oil prices. The stocks are chosen in such a way that the portfolio as a whole is strongly affected by one factor (has a beta close to 1) but is weakly affected by other factors (has a beta close to 0). These portfolios are constructed based on the history and projected behavior of the influencing factors, and usually include both long and short trading positions.
Related information about factor portfolio:
- What is factor portfolio? definition and meaning
Definition of factor portfolio: Set of several stocks having different degree of risk exposure to different types of economic factors such as changes in interest rates, ...
- Factor portfolio - Financial Dictionary - The Free Dictionary
A well-diversified portfolio constructed to have a beta of 1.0 on one factor and a beta of zero on any other factors. Want to thank TFD for its existence?
- Risk Factors as Building Blocks for Portfolio ... - Callan Associates
the factor portfolio has 34 units of variance compared to the 119 units in the traditional ... The simple factor portfolio historically achieved a slightly higher level of ...
- Fama French + Cahart 4 Factor Portfolio Returns - Jason Hsu
This section contains factor portfolio returns associated with the Fama-French + Momentum (or Carhart 4-Factor) portfolios. The U.S. factor portfolio returns are ...
- CAPM Tests and Alternative Factor Portfolio Composition ... - Lirias
789. ABSTRACT. We show that the results of a CAPM test are quite sensitive to the details of the test design. Especially crucial are the aspects related to the ...
- Factor portfolio Definition - NASDAQ.com
Factor portfolio: read the definition of Factor portfolio and 8000+ other financial and investing terms in the NASDAQ.com Financial Glossary.
- Equity Portfolio Optimization With Factor Tilts - Seeking Alpha
Nov 21, 2012... lower volatility of the minimum variance factor tilt equity portfolio, and a low structural correlation between the factor portfolio and Treasuries, ...
- Download as a PDF - CiteSeer
case of a homogeneous portfolio to the fully complex case of a multi-factor portfolio with different exposure sizes and possible value changes due to rating ...