We customize factor attribution for quantitative equity portfolios to better align the measurement of factor returns with how factor tilts were taken on. Specifically, we provide a theoretical argument for including the absolute value of factor exposures in the attribution to account for the...

We find that the benefit of minimum-volatility (min-vol) investing in Emerging Markets can be earned through country and sector allocation in lieu of individual stock selection. The country-sector approach delivers implementation benefits such as lower turnover and more liquid holdings, which...