Christine Benz and Alex Bryan, from Morningstar.com, discuss it in this video. Bryan makes a case that taking a careful look at fund expenses matters a lot, just as with other investment vehicles, and that integrated multifactor funds generally make more sense for most investors.
https://www.morningstar.com/videos/8707 ... -etfs.html
Here's a link to the full paper: http://corporate1.morningstar.com/Resea ... tor-funds/ Not a great deal of ground breaking going on, but its a decent basic introduction to the concept."The basic idea behind a multifactor fund is that it's not a bad idea to diversify across these different factor strategies, because although each factor strategy, like targeting stocks with low valuations, small market capitalization, high-quality, good momentum, all those things have tended to work well over the very long term, but they each go through their own cycle of outperformance and underperformance. The basic idea is by putting these different factors together in a portfolio you can diversify your risk reducing the risk of underperforming for an extended period of time, and we think that that would make it easier to stick with a multifactor fund than to try to go it alone with a single factor."
The framework Bryan outlines:
1. What is the fund’s selection universe?
2. Which factors does the fund target?
3. How does the fund measure its targeted factors?
4. How does the fund combine its targeted factors?
5. How aggressively does the fund pursue its targeted factors?
6. Do the fund’s factor tilts wash out, or does one factor dominate?
7. Are there any constraints on the portfolio?