@techreport{NBERw6412,
 title = "Positive Portfolio Factors",
 author = "Stephen J. Brown and William N. Goetzmann and Mark Grinblatt",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "6412",
 year = "1998",
 month = "February",
 URL = "http://www.nber.org/papers/w6412",
 abstract = {We use an iterative relocation algorithm to identify factors in common stock returns.  The benefit of the approach is that factors are portfolios of assets with non-negative weights.  As a result, they are readily interpreted in terms of their characteristics of the underlying securities.  The positive portfolio factors have comparatively high explanatory power in sample and out-of-sample.  We find evidence of a size factor and factors identified with certain industries.  Factors extracted from the mutual fund universe perform marginally better than factors from the universe of equities.},
}