Choosing Portfolio Factors

Overview

The choice of factors to use when constructing a portfolio model is a critical. It is driven by various considerations.

• Statistical Considerations - which factors show strong correlation to portfolio return and are statistically relevant
• Management Style - factors that are consistent with the portfolio's management philosophy.

Factor Types

• Fundamental Factors
• Industry Factors
• Price Action Factors
• Behavioural Factors
• Economic Factors