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Alternative approaches to multi-factor index construction: Like-for-like comparisons

In this video, Lingjuan Ma, senior research analyst, research and analytics, walks you through the high-level discussion points explained in our new paper, “Alternative approaches to multi-factor index construction: Like-for-like comparisons.” She references the merits of top-down vs bottom-up approaches, and explains the significance and benefits of FTSE Russell’s sequential tilting methodology.

Watch the video to hear a short summary of the differing approaches to multi-factor construction; and how multiple tilt, as a form of bottom-up approach, exhibits higher factor exposures for any levels of correlation, in both concentrated and diverse portfolios.

 

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