Primer on Factor Exposures and Payoffs

37 Pages Posted: 2 Oct 2017

See all articles by Roger G Clarke

Roger G Clarke

Ensign Peak Advisors

Harindra de Silva

Analytic Investors, Inc.

Steven Thorley

BYU Marriott School of Business

Date Written: September 29, 2017


Given the popularity of factor investing, also known as rules-based, “smart beta”, or simply quantitative portfolio management, a number of students and traditional equity analysts have asked for a primer to introduce basic terms, concepts, and calculation procedures. This guide to factor exposures and payoffs contains material from our journal publications over the last several years, compiled in a way that provides a quick start and somewhat self-contained guide to analysts that are new to factor investing. We include specific empirical results that can be replicated as an exercise in data collection, programming, reporting, and analysis.

Keywords: factor investing, rules-based portfolios, quantitative portfolio management

JEL Classification: G11

Suggested Citation

Clarke, Roger G and de Silva, Harindra and Thorley, Steven, Primer on Factor Exposures and Payoffs (September 29, 2017). Available at SSRN: or

Roger G Clarke

Ensign Peak Advisors ( email )

60 East South Temple
4th Floor
Salt Lake City, UT 84111
United States

Harindra De Silva

Analytic Investors, Inc. ( email )

555 West 5th Street
50th Floor
Los Angeles, CA 90013
United States
213-688-3015 (Phone)
213-688-8856 (Fax)

Steven Thorley (Contact Author)

BYU Marriott School of Business ( email )

616 TNRB
Brigham Young University
Provo, UT 84602
United States
801-378-6065 (Phone)
801-378-5984 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics