PT  - JOURNAL ARTICLE
AU  - Mehdi Alighanbari
AU  - Chin Ping Chia
TI  - Multifactor Indexes Made Simple: <em>A Review of Static and Dynamic Approaches</em>
AID  - 10.3905/jii.2016.7.2.087
DP  - 2016 Aug 31
TA  - The Journal of Index Investing
PG  - 87--99
VI  - 7
IP  - 2
4099  - https://pm-research.com/content/7/2/87.short
4100  - https://pm-research.com/content/7/2/87.full
AB  - Multifactor index fund allocations are increasingly becoming the preferred approach to factor investing. This article examines the return–risk characteristics of nine static and dynamic weighting strategies over a 36-year period. The results highlight that a simple strategy that equal weights multiple factor indexes has historically proved more effective than many of the more complex approaches—pointing to its potential as a way to combine factors, especially in the absence of active investment views and skills. However, a dynamic factor-weighting strategy based on fundamental signals also has merit if the investor believes she has the insight or skills required.TOPICS: Mutual funds/passive investing/indexing, analysis of individual factors/risk premia