From Fama-French to the ABL Framework

Publisher: SSRN

Abstract:

This article takes the reader through the nature of Fama and French (1992 & 1993) factor-ranking process as a portfolio construction technique; and suggests a thought process leading to the Augmented Black-Litterman (ABL) model (Cheung, 2012) that endogenises the ranking process with enhanced flexibility, efficiency and convenience. Through explicitly seeking factor views and elegantly combining and converting them into a composite factor-mimicking stock portfolio, the ABL technique readily facilitates style rotation.

Source: Manual