Five Questions: Multi-Factor Investing with Liqian Ren

By Jack Forehand (@practicalquant) —   Factor Investing has proven itself over long periods of time. But there is a price that has to be paid for its outperformance. The individual factors such as value, momentum and quality all can have extended periods where they underperform the market. One way to smooth out the returns from the individual factors is to use them together in a multi-factor portfolio. When constructed properly, multi-factor portfolios can produce comparable returns… Read More

Morningstar’s Ben Johnson on Multifactor ETFs

Factor investing is to portfolio construction what macronutrients are to the diet, and diversifying a portfolio to include various factors is as important as doing so with asset classes in a traditional, market-cap weighted portfolio. This is the upshot of a recent Morningstar interview with Ben Johnson, the firm’s director of global exchange-traded fund research. Johnson (who credits the macronutrient analogy to factor expert Andrew Ang of BlackRock) discusses the philosophy behind an investor’s move… Read More