Factor Exposures for the IPOX Portfolio
Michael Kollo, Kat Liu, Josef Schuster
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 1/3 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.