TY  - JOUR
AU  - Brown,Stephen J.
AU  - Goetzmann,William N.
AU  - Grinblatt,Mark
TI  - Positive Portfolio Factors
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6412
PY  - 1998
Y2  - February 1998
UR  - http://www.nber.org/papers/w6412
L1  - http://www.nber.org/papers/w6412.pdf
N1  - Author contact info:
Stephen J. Brown
Stern School of Business
New York University
New York, NY 10012
Tel: 718 273 0317
Fax: 718 981 7239
E-Mail: sbrown@stern.nyu.edu

William N. Goetzmann
School of Management
Yale University
Box 208200
New Haven, CT 06520-8200
Tel: 203/432-5950
Fax: 203/432-3003
E-Mail: william.goetzmann@yale.edu

Mark Grinblatt
UCLA
Anderson Graduate School of Management
110 Westwood Plaza, Box 951481
Los Angeles, CA  90095-1481
Tel: 310/825-1098
Fax: 310/206-5455
E-Mail: mark.grinblatt@anderson.ucla.edu
AB  - 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.
ER  -