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The Journal of Portfolio Management

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A Trustee Guide to Factor Investing

Kees Koedijk, Alfred Slager and Philip Stork
The Journal of Portfolio Management Special QES Issue 2016, 42 (5) 28-38; DOI: https://doi.org/10.3905/jpm.2016.42.5.028
Kees Koedijk
is a professor of financial management at Tilburg University in The Netherlands.
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  • For correspondence: k.koedijk@tias.edu
Alfred Slager
is a professor of pension fund management at Tilburg University in The Netherlands.
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  • For correspondence: a.slager@tias.edu
Philip Stork
is a professor of financial markets and instruments at Vrije Universiteit Amsterdam in The Netherlands.
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  • For correspondence: p.a.stork@vu.nl
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Abstract

Factor investing is rapidly becoming mainstream in the investment community. Although the technique has progressed impressively, the governance to implement it successfully has lagged behind. In this article, the authors analyze how pension funds and institutional investors implement new insights into factor investing and how they work with the factors that drive asset returns as a portfolio construction tool. The authors review hurdles in the implementation process, analyze the reasons behind them, and then develop a checklist with eight recommendations to consider when implementing factor investing. Looking forward, the authors explore three emerging approaches to factor investing and examine how these approaches could be implemented.

TOPICS: Analysis of individual factors/risk premia, style investing, pension funds

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The Journal of Portfolio Management: 42 (5)
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Special QES Issue 2016
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A Trustee Guide to Factor Investing
Kees Koedijk, Alfred Slager, Philip Stork
The Journal of Portfolio Management Jul 2016, 42 (5) 28-38; DOI: 10.3905/jpm.2016.42.5.028

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A Trustee Guide to Factor Investing
Kees Koedijk, Alfred Slager, Philip Stork
The Journal of Portfolio Management Jul 2016, 42 (5) 28-38; DOI: 10.3905/jpm.2016.42.5.028
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  • Article
    • Abstract
    • SIGNALING OUT USEFUL FACTORS
    • RATIONALE AND PERSISTENCE
    • SIGNIFICANCE
    • WAY OF IMPLEMENTATION
    • FROM THEORY TO PRACTICE
    • EMBEDDING FACTORS INTO THE INVESTMENT MANAGEMENT PROCESS
    • REGULATORY PERSPECTIVES
    • ENDNOTE
    • REFERENCES
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