Yan-Bo Lu

From Academic Factor Portfolios to Investable Factor Products: Return Differences, Mapping Losses, Implementation Frictions, and a Conditional Framework

The academic factor premium comes from the “laboratory measurement” of an idealized long-short combination. For investors to actually gain factor exposure, they must first map academic signals into portfolioable data, and then execute the data through the product vehicle. This article organizes its overview along the t...