Mehdi Alighanbari, Raman Aylur Subramanian and Padmakar Kulkarni, authors of the September 2014 MSCI Research Insight paper “Factor Indexes in Perspective: Insights from 40 Years of Data,” contributed to the literature with their review of the performance of factors over the period November 1975 through March 2014.
The authors provide new insights into the behavior of factor indexes over various time periods. Their paper identified six factors, “each of which have been empirically tested in years of academic research