Blog | Exploring Latent Factors in Equity Returns with the Journal of Portfolio Management

A cornerstone of modern finance is that an asset’s return can be modelled as the linear combination of a set of factors. The consequences of this innovation have been profound, and it underlies ‘smart beta’ investing as well as most risk models.

Notwithstanding the common acceptance that there exists a set of factors in equity returns, what these factors represent, how they should be defined and how many there are remain open questions.

You can now read the full whitepaper at the link below