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The Journal of Portfolio Management

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A Closer Look at the Factor-to-Specific Risk Ratio in Factor Portfolios

Jennifer Bender and Xiaole Sun
The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.117; DOI: https://doi.org/10.3905/jpm.2019.1.117
Jennifer Bender
is a senior managing director for Global Equity Beta Solutions at State Street Global Advisors in Boston, MA
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Xiaole Sun
is a vice president at Global Equity Beta Solutions at State Street Global Advisors in Boston, MA
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The Journal of Portfolio Management: 48 (5)
The Journal of Portfolio Management
Vol. 48, Issue 5
April 2022
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A Closer Look at the Factor-to-Specific Risk Ratio in Factor Portfolios
Jennifer Bender, Xiaole Sun
The Journal of Portfolio Management Nov 2019, jpm.2019.1.117; DOI: 10.3905/jpm.2019.1.117

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A Closer Look at the Factor-to-Specific Risk Ratio in Factor Portfolios
Jennifer Bender, Xiaole Sun
The Journal of Portfolio Management Nov 2019, jpm.2019.1.117; DOI: 10.3905/jpm.2019.1.117
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  • Article
    • Abstract
    • HOW DO WE CAPTURE FACTORS IN INVESTABLE PORTFOLIOS?
    • THE EMPIRICAL FRAMEWORK
    • EMPIRICAL RESULTS: BASE CASE
    • SENSITIVITY TESTS: WHAT ELSE AFFECTS THE FACTOR-TO-SPECIFIC RATIO?
    • IS A HIGHER RATIO ALWAYS BETTER?
    • LINKING EX ANTE RISK TO EX POST RETURN
    • CONCLUSION
    • ADDITIONAL READING
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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