Equities Risk

More details on style-based factor mimicking portfolios

Synopsis

Here we present more details on the return characteristics of the factor mimicking portfolios designed to capture the influence of style factors captured by various firm attributes. The portfolios are formed every December by sorting the universe of All Ordinaries Index stocks into terciles based on the attribute of interest.

Factor mimicking portfolios based on book-to-market — Figure 4. Total return indexes of factor mimicking portfolios based on book-to-market.

Factor mimicking portfolios based on earnings to price — Figure 4. Total return indexes of factor mimicking portfolios based on earnings to price.

Factor mimicking portfolios based on operating cashflow / market cap — Figure 4. Total return indexes of factor mimicking portfolios based on the ratio operating cashflow / market cap.

Factor mimicking portfolios based on dividend yield — Figure 4. Total return indexes of factor mimicking portfolios based on dividend yield.

Factor mimicking portfolios based on return on equity — Figure 4. Total return indexes of factor mimicking portfolios based on return on equity.

Factor mimicking portfolios based on return on assets — Figure 4. Total return indexes of factor mimicking portfolios based on return on assets.

Factor mimicking portfolios based on operating cashflow / assets — Figure 4. Total return indexes of factor mimicking portfolios based on the ratio of operating cashflow / assets.

Factor mimicking portfolios based on 12-month momentum — Figure 4. Total return indexes of factor mimicking portfolios based on 12-month momentum.

Factor mimicking portfolios based on 6-month momentum — Figure 4. Total return indexes of factor mimicking portfolios based on 6-month momentum.

Factor mimicking portfolios based on 3-month momentum — Figure 4. Total return indexes of factor mimicking portfolios based on 3-month momentum.

Factor mimicking portfolios based on market cap — Figure 4. Total return indexes of factor mimicking portfolios based on market capitalisation.

Principal components 1-4 are the loadings on the first four principal components estimated using the Asymptotic Principal Components method of Connor and Korajczyk (1988), Risk and Return in an Equilibrium APT: Application of a New Test MethodologyJournal of Financial Economics, 21(2), 255–289.