{"enrichment":{"faq":[{"a":"Factor Investing teaches you to regress fund returns against the Fama-French factors\u2014market (Rm-Rf), size (SMB), value (HML), profitability (RMW), and investment (CMA)\u2014to isolate alpha and factor loadings. The regression output shows which factors drive performance, their statistical significance via t-statistics, and the unexplained alpha. This decomposition separates manager skill from passive style exposure.","q":"How do I run a Fama-French factor model regression?"},{"a":"Factor Investing helps you detect closet indexing by analyzing factor loadings, R-squared values, and fee-to-tracking-error ratios. A high R-squared with factor exposures matching the benchmark, combined with high fees relative to tracking error, signals that a fund is behaving like an index despite active management claims. Factor loadings expose hidden style drift and passive replication.","q":"What does Factor Investing reveal about closet indexing?"},{"a":"Factor Investing guides evaluation of smart-beta ETFs and factor-tilted funds by assessing purity (how cleanly the product isolates its target factor), costs (expense ratios and implementation drag), and implementability (turnover, liquidity, and rebalancing frequency). Multifactor regression reveals whether the product delivers its promised factor exposure or drifts into unintended exposures.","q":"How can I evaluate smart-beta and factor-tilted products?"},{"a":"Factor Investing separates true alpha from factor returns through multifactor regression. If a fund's returns are fully explained by its factor loadings (high R-squared, insignificant alpha), the manager is delivering style exposure, not skill. Positive, statistically significant alpha after controlling for factors indicates genuine outperformance beyond passive factor tilts.","q":"Is my fund manager adding skill or just factor exposure?"},{"a":"Factor Investing teaches that factor premiums\u2014value, momentum, profitability, and investment\u2014vary in magnitude and persistence across time and markets. Understanding factor cyclicality, crowding risk, and post-publication decay helps you time factor tilts and avoid overcrowded strategies. Expected returns from factor loadings depend on premium durability and market regime.","q":"What should I know about factor premiums and their durability?"},{"a":"Factor Investing uses multifactor regression output\u2014loadings, alpha, and significance\u2014to build portfolios with intentional factor tilts and controlled risk. By understanding your current factor exposures and their expected premiums, you can rebalance toward undervalued factors, hedge undesired exposures, and construct portfolios aligned with your return objectives and risk tolerance.","q":"How do factor loadings and alpha inform portfolio construction?"}],"shadow_tags":["multifactor-models","factor-attribution","smart-beta-analysis","closet-indexing-detection","factor-premiums","portfolio-decomposition","factor-timing-risk","anomaly-research","factor-crowding","implementable-tilts"],"summary_rewrite":"Factor Investing teaches you to apply multifactor models\u2014from CAPM through Fama-French 3- and 5-factor frameworks plus momentum\u2014to portfolio construction and fund evaluation. Regress fund returns against factors to separate true alpha from passive exposure, detect closet indexing, and assess smart-beta product purity and implementation quality."},"files":[{"bytes":16345,"path":"plugins/wealth-management/skills/factor-investing/SKILL.md","sha256":"37806706a209a118d9bf16fb7e19efefe54a3c8308162029a85db0a095a61db1","url":"https://skillfed.io/files/JoelLewis/finance_skills/factor-investing/77a60b93/SKILL.md"}],"id":"JoelLewis/finance_skills/factor-investing","links":{"html":"https://skillfed.io/JoelLewis/finance_skills/factor-investing","md":"https://skillfed.io/JoelLewis/finance_skills/factor-investing.md","repo":"https://github.com/JoelLewis/finance_skills"},"meta":{"agents_supported":[],"first_seen":"2026-07-28","forks":32,"language":"Python","last_updated":"2026-07-18","license":"MIT","name":"factor-investing","publisher":"JoelLewis","stars":159},"relations":{"similar":[{"id":"JoelLewis/finance_skills/performance-attribution"},{"id":"JoelLewis/finance_skills/statistics-fundamentals"},{"id":"HKUDS/Vibe-Trading/multi-factor"},{"id":"JoelLewis/finance_skills/equities"},{"id":"HKUDS/Vibe-Trading/performance-attribution"},{"id":"HKUDS/Vibe-Trading/factor-research"},{"id":"aj-geddes/useful-ai-prompts/dimensionality-reduction"},{"id":"JoelLewis/finance_skills/asset-allocation"},{"id":"jaechang-hits/SciAgent-Skills/mofaplus-multi-omics"},{"id":"HKUDS/Vibe-Trading/alpha-zoo"}]},"slug":{"owner":"JoelLewis","repo":"finance_skills","skill":"factor-investing"},"version":"77a60b93"}