Practitioners’ Insights: Factor Investing - Fundamentals, Portfolio Strategies & Assessment

Описание: Factor investing has gained prominence for its systematic and data-driven approach to portfolio construction — but what makes a factor truly investable?

In this informative CFA Institute webinar, Kshitiz Jain, CFA, FRM, breaks down the fundamentals of factor investing — from definitions and history to practical implementation and portfolio design. Moderated by Pankaj Sharma, the session covers how certain characteristics like value, momentum, and quality have consistently explained stock returns and how investors can utilize these factors in real-world portfolios.

Kshitiz explains how a valid investment factor must be persistent, pervasive, investable, intuitive, and robust. He offers a deep dive into common equity factors such as value, size, momentum, low volatility, dividend yield, quality, and growth — including their behavioural and risk-based rationales.

The discussion also explores how factor performance cycles through different macroeconomic phases and why multi-factor investing is often more resilient than single-factor strategies. Kshitiz then outlines how to design and implement a factor strategy, including screening, sizing, rebalancing, and defining clear entry/exit rules. He also explains how to use some public tools like Google Finance and Screener to build a simple momentum strategy or any backtesting strategy.

The session wraps with audience Q&A covering stress testing, the impact of behavioural biases, and how to interpret and access quality data for effective factor-based investing.

0:00 – Opening & Introduction
5:06 – What is Factor Investing? Definitions & Origins
7:29 – Overview and discussion of major factors: Value, Size, Momentum, Low Volatility, Quality, Growth, Dividend Yield
14:58 – Why factors investing has become popular across the globe?
17:37 – Why certain factors outperform? Systematic risk vs. behavioural explanations
24:30 – Factor Strategy Performance in India over the last decade
26:20 – Factor Investing is not a free lunch
30:35 – which factor is more likely to perform well in a specific macro environment or business cycle?
36:10 – Can we improve the performance by combining factors (multifactor strategies)?
41:40 – Elements of an investing strategy
46:10 – Building a simple momentum strategy
48:02 – Introduction to back testing and use of historical data
51:03 – Tools for back testing
54:25 – Q&A session begins
54:55 – Portfolio stress testing and risk frameworks
59:21 – Defining “low size” and small cap metrics
1:00:52 – Behavioural vs. fundamental factor importance
1:03:16 – Reliable data sources and tools for factor investing

___________________________________________________________________________________

The Indian Association of Investment Professionals (IAIP), the India Society of CFA Institute, was established in Apr 2005 as an association of local investment professionals consisting of portfolio managers, security analysts, investment advisors and other financial professionals.

As one of the over 160 CFA Institute member societies, the IAIP connects local CFA Institute members to a global network of investment professionals. For the continuing up-gradation of knowledge and skills of members, IAIP conducts speaker events, workshops led by leading finance professionals.