RT Journal Article SR Electronic T1 What’s in Your Benchmark? A Factor Analysis of Major Market Indexes JF The Journal of Portfolio Management FD Institutional Investor Journals SP 46 OP 59 DO 10.3905/jpm.2018.44.4.046 VO 44 IS 4 A1 Ananth Madhavan A1 Aleksander Sobczyk A1 Andrew Ang YR 2018 UL https://pm-research.com/content/44/4/46.abstract AB The authors examine the factor exposures of several popular market-capitalization indexes and how they vary over time. The authors find that most market-capitalization-weight indexes are effectively exposed to only two or three factors, with value and momentum being increasingly dominant. They find that the proportion of index movements explained by factors has materially increased in recent years, which is consistent with a more top-down, macro-driven environment or the increasing importance of economy-wide risks for financial markets.TOPICS: Analysis of individual factors/risk premia, theory