Permanent portfolio variant with small cap value tilt
Permanent portfolio variant with small cap value tilt
Multi-factor investing builds on the Capital Asset Pricing Model (CAPM) of Sharpe (1964) and its extensions. The Fama-French Three-Factor Model (1993) demonstrated that size and value factors explain returns beyond market beta. Carhart (1997) added momentum as a fourth factor. Fama and French expanded to five factors in 2015 by adding profitability and investment. AQR Capital Management, Dimensional Fund Advisors, and Research Affiliates have been instrumental in translating multi-factor research into investable products and portfolio construction techniques.
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Lower-risk profile — expect smaller drawdowns in exchange for more modest returns.
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Backtested KPIs are estimates derived from historical data and do not guarantee future returns. Markets carry risk of loss.
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