Mind the Exposure:Exploiting Non-Linearity in Factor Returns

When:  May 21, 2024 from 12:00 to 13:00 (ET)
The portfolio implications of non-linear factor returns, which do not display a constant rate of change and are determined by where you get factor exposure rather than how much, are significant and multifaceted. Yet, little research has been published about these non-linearities in the return-to-characteristic relationship for the pure version of five well-known equity market factors: Value, Momentum, Small Size, Low Beta, and Profitability.