My idea is to invest 20% of my portfolio with a multifactor investing strategy.
Specifically, I‘d like to invest into large US equity. I don‘t want to by an index ETF, I‘d want to invest actively into stocks and pick them by myself.
In order to invest by factor you need the necessary data to analyze. But that's difficult.
So I came up with an idea, a shortcut one could also say. What if I‘d use the available data from ishares. You could find all components of their indexes on their website.
So I downloaded the data of the following indexes here
- MSCI USA Quality
- MSCI USA Value
- MSCI USA Momentum
Then you could further select, filter, etc. e.g. by sector, market size, etc.
I'd need to review it (semi-)annually, rebalance and sell and buy.
Those factor indexes are based on the MSCI USA, which holds 637 public traded stocks. (MSCI source)
I have to confess. In regards to the CCCCCC model such an approach is probably located (only) at the third stage, compiling.
Nevertheless, it would be a viable approach of multifactor investing without buying an ETF index.
What do you think?