…approach to factor timing,” the conclusions of which were tested by Asness and his team through trading simulations on a multi-factor portfolio both with and without factor-based timing strategies. Results…
Search Results for: factor
Simple is Smart in Smart-Beta Investing
Using a database of over 20 countries, a team of British academics tested the five most popular smart beta factors to see whether they would have proven successful over time….
Greenblatt Blends Active and Passive Strategies in New Fund
…that are cheaper than average with good prospects.” Gotham’s investment style is not factor-based (according to metrics such as price-book or price-sales ratios). He explains, “We want to know over…
Rob Arnott Says Clock is Ticking on Smart Beta ETFs
…quantitative factors like volatility or “cheapness”, and the article explains that Arnott’s position is nothing new (he publicly battled with Cliff Asness on the topic a year ago). In fact,…
Sentiment Measures Are Not Reliable Investment Cues
…an inherently unquantifiable factor.” He quotes Morgan Housel, who believes that, “Most investing is simple, but we complicate it.” Taking investment cues from sentiment measures is likened to market-timing. The…
Fundamentally-Focused Momentum Stock Picks
…data illustrating that the risk premium associated with the momentum strategy leads to long-term performance (see factor chart below). He describes the Validea momentum strategy (which combines the investment approach…
Why Value Investors Need "Mental Toughness"
…game for a very long time. A big factor in his success, however, is patience. “No matter how great the talent or efforts,” Buffett says, “some things just take time.”…
Morningstar Compares Research Data to Real-World Investing
…director of passive research in North America, shared his insights on some discrepancies between the two: Fama-French Value Factor: In 1992, these economists found that stocks trading at low valuations,…
AQR's Antti Ilmanen Predicts Low Returns
…likely. He suggests that investors consider “factor timing using approaches such as smart beta.” Specifically, he explained his preference for focusing on “harvesting from four to five styles that have…
2017 Outlook Per Morningstar, Vanguard, and Others
…downright discouraging, especially when you factor in inflation. But the outlook is more optimistic for foreign equities.” Research Affiliates—while “even more downbeat about the prospect for U.S. stock and bond…