Swedroe on What Makes Factors Last

In an article on ETF.com, BAM Alliance research director Larry Swedroe discussed issues related to factor investing, the potential problems with research around it, and the criteria he believes must be met to suggest that a factor will endure. According to Swedroe, a factor should first meet the following two conditions: Be a unique source of risk and return not explained by other well-documented factors already used in asset pricing models; Have delivered a premium… Read More

Study Raises Questions About Factor Significance

A new study has found that most of the market anomalies academics have identified are not statistically significant, says a recent Wall Street Journal article. After analyzing 447 anomalies (the biggest test of its kind conducted so far), the researchers concluded that more than eight out of ten “vanish when rigorous tests are applied,” according to the article. In their report, they warn that academics may manipulate statistics to come up with compelling findings, a… Read More