Quantitative investing
R-Labs examines existing investment portfolios' exposure to factor premiums using its own customized scanning system. This is known as the 'R-Labs Factor Exposure Monitor'.
The scan shows the relative underweights or overweights per factor (relative to the market portfolio). This can form a first step in the decision-making process for implementing factor investing.
Figure 7. Relative factor exposures of portfolios
Source: R-Labs, Quantitative Research, 2014
The chart shown above represents a portfolio that overweights the Value factor while underweighting the Momentum and Low-volatility factors.
See also
