Factor Investing
Factor Selection
Size
Mid and Small Cap Companies
Low Volatility
Companies exhibiting low standard deviation / risk
Quality
Companies with low debt, high ROIC, consistent earnings
Momentum
Companies trading above 6 months & 1 year price adjusted for volatility
Value
Companies with low P/E, low P/B, low P/S and high dividend yield
Risk Budget
Optimize allocations for a given "risks budget"
Asset Allocation
Utilize long-term historical data, projected forecasts, & specified constraints
Optimize the weights to each factor accordingly
