Factor Exposures for the IPOX® Portfolio 2020
Michael Kollo, Kat Liu, Josef Schuster
ABSTRACT
Factor investing has become increasingly popular in recent years. Institutional investors have been shifting to
more transparent and systematic factor approaches where they can clearly see the exposures which they are
carrying. We quantify the factor exposures of the IPOX 100 U.S. index portfolio using a combination of time-
series correlations and weight-based exposures. We explore the portfolio’s sensitivity to market beta, to
GICS® sectors, and to fundamental factors such as value, quality, growth, small cap, momentum, low
volatility, and high dividend (yield). We find some evidence of industry factors, and the presence of mild
growth, momentum, and size exposures. We do not find evidence for beta (market risk) tilts. In aggregate,
about 2/5 of the portfolio’s outcome can be explained using industry and fundamental factors. The findings
suggest that IPOs as measured by IPOX carry unique factor footprints that cannot be well captured using
traditional factor exposures.
