Multifactor model

Extension of CAPM that adds factors beyond market beta: Size (small-cap), Value (HML), Momentum (UMD), Quality, Profitability, Investment, Low Volatility. Fama-French 3-Factor (1992) and 5-Factor (2015) are the academic gold standards.

Each factor earns a long-run premium. Multi-factor portfolios diversify across factors to reduce drawdowns from any single factor underperforming.