Michael Hunstad - Institutional Trends in Factor Investing (S3E9)
Flirting with Models
Is There a Balance Between High Factor Efficiency and Low Total Factor Exposure?
The less total factor exposure you have, the easier it is to make pure. Gold number one is to meet your objectives, but in the course of meeting those objectives, you want to have as efficient implementation as possible. So i want to achieve y my exes return target, but take the minimum amount of active risk to get there. And i think that's not at all, as yet a best practice in the industry.
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