What is factor investing: The essentials Factor investing is about investing in securities featuring certain characteristics that have proved to deliver higher risk-adjusted returns than the market over time, following a fixed set of rules. In other words, it is based on the systematic exploitation of a number of premiums, called factor premiums, that have shown to be robust over time and across different markets. An example of this is the value factor: securities that are attractively priced relative to their fundamental value, for example stocks exhibiting a low book-to-price ratio (which compares a company's market value to its book value),...