The authors summarize various techniques and pros/cons for investing in factor strategies or diversifying according to factors (as opposed to mean-variance optimization); they do so from the perspective of a fiduciary or a trustee who manages the investment managers and makes the ultimate investment decision. In particular, they suggest 1. Treat factor investing as an investment belief 2. Determine what the investment managers are talking about 3. Be consequential 4. Focus on benchmark construction 5. Educate your pension fund's stake holders. 6. Regularly review the economic rationale and relevance of factors 7. Take and active stance on active choices, and 8. Decide whether allocation to factors will be static or dynamic. They go on to summarize three ways to implement factors into the portfolio: risk due diligence, factor tilts, and factor optimization.
KOEDIJK, K., SLAGER, A., & STORK, P. (2016). A Trustee Guide to Factor Investing. Journal Of Portfolio Management, 42(5), 28-38.
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