What’s in Your Benchmark? A Factor Analysis of Major Market Indexes
研究了几个主流市值加权指数的因子暴露及其随时间的变化，发现多数指数只有效暴露于两三个因子，且因子解释比例近年显著上升。
The authors examine the factor exposures of several popular market-capitalization indexes and how they vary over time. The authors find that most market-capitalization-weight indexes are effectively exposed to only two or three factors, with value and momentum being increasingly dominant. They find that the proportion of index movements explained by factors has materially increased in recent years, which is consistent with a more top-down, macro-driven environment or the increasing importance of economy-wide risks for financial markets. <b>TOPICS:</b>Analysis of individual factors/risk premia, theory