Parametric Factor Strategies Methodology
Factor strategies are designed to provide cost-efficient and risk-controlled exposures to dividend yield, value, quality, momentum, and other parameters. However, despite an often attractive risk-and-return profile, these strategies can introduce additional turnover, which may erode some of that return.
Parametric’s approach to factor-based investing uses an optimization, rather than ranking, process to avoid unintended factor exposures. In this paper we explain how our approach is designed to help clients keep more of their returns.