Factor investing has moved decisively beyond single-style approaches. Multifactor strategies offer more diversified portfolios — but not all are built the same.
Research has increasingly focused on which multifactor combinations most effectively enhance performance while avoiding unwanted biases and common trading pitfalls.
This paper examines the performance of the recently introduced iSTOXX® Ang Research Enhanced US Large Cap index, which tilts on four factors: Momentum, Quality, Enhanced Value and Cyclical Value.
Its edge lies in how it allocates across factors: three proprietary models continuously assess the market backdrop, factor momentum and factor overcrowding, dynamically shifting exposure. An Axioma optimizer keeps tracking error and turnover in check, among other constraints.
The paper’s findings confirm that a disciplined multifactor strategy can deliver on its outperformance potential. Over the past 22 years, the iSTOXX Ang Research Enhanced US Large Cap index has produced an annual active return of 1.2 percentage points versus its parent benchmark, while maintaining a 1% tracking error.
Download the paper to explore the full findings.
