Calculated   Volatility This factor is designed to capture the relative volatility of assets. Assets that have high (low) historical volatility have a high (low) exposure to the volatility factor. Momentum This factor captures the common variation in returns related to historical price behavior. Assets that had positive excess returns in the recent past are grouped separately from those that displayed negative excess returns. Assets that have high (low) excess returns over the risk-free rate have a high (low) exposure to the momentum factor. Market Also known as the size factor, this capitalization factor distinguishes among assets on the basis of their company's market capitalization. Companies with large (small) market capitalization have high (low) exposure to the size factor. Value This factor distinguishes among companies on the basis of their value orientations. An asset's exposure to volatility may be computed as the standard deviation of its historical returns. An asset's exposure to the momentum factor may be computed as its cumulative return over the previous 12 months over the risk-free rate. An asset's exposure to this factor is defined as the observed market capitalization of the factor. An asset's exposure to value may be defined as the ratio of its price to book value.   more than one location Dublin and London). (e.g., Allied-Irish stock shares are traded in both In general, there can be problems with using the country of domicile as defining a country's exposure. A good example of this is companies that are domiciled in Bermuda. Clearly, a large part of their market risk may be independent of Bermuda's local economic effects. An alternative approach to defining an asset's exposure is to use local market betas. For example, an asset's exposure to a particular country, using realized betas, may be computed as follows: Step 1 Assign each asset to a country or countries. Step 2 Identify the market portfolio corresponding to each country. This portfolio is referred to as the local market index. Step 3 Regress the returns of the asset on the returns of the local market index to get the beta. Step 4 The estimated value of beta is that asset's exposure to the country.