The low volatility factor targets securities with lower risk than the broader market, as well as stable earnings. They have historically resulted in higher risk-adjusted returns.
The size factor seeks the excess returns of smaller firms (by market capitalization) relative to their larger counterparts.
The value factor seeks lower-cost securities that are undervalued relative to their intrinsic value. Less expensive securities that could beat expectations may afford investors more upside.
The dividend yield factor seeks excess returns from stocks that have higher-than-average dividend yields.
The quality factor targets companies with stable profitability and cash flows, a lack of excessive leverage or better credit quality. These securities historically have been more profitable, and have generated higher earnings.
The momentum factor focuses on securities with improving fundamentals that have recently outperformed, and may continue to do so over the medium term.