…the discount rate is off. But if the factors work for behavioral reasons, then EI is a powerful tool. I should note that the value factor relies on negative feedback,…
Search Results for: factor
Commentary: Smart Beta vs. Alpha-Beta Combination
…ranked by factors,” the article explains, “we could allocate to a combination of the stock market and a long-short multi-factor portfolio. We could build an alpha + beta strategy through…
Five Questions: Factor Timing with Nicolas Rabener
…returns on a factor-based portfolio by timing factors? Nicolas: Yes, and no. Factor timing is the equivalent of market timing, which is typically defined as forecasting returns based on discretionary…
The Rising Bar for Active Management
…what they did. But the rise of factor investing has changed all of that. Now that factors are more understood and products using them are more commercially available, the bar…
Factor Investing's Brutal Truth
…strategy of constructing a passive multi-factor portfolio,” the article reports. The study found that a factor-timing strategy generated gross returns of 4.17 percent annually over 20 years, a level 0.95…
Rob Arnott Claims Victory on Factor Crowding
Research Affiliates Co-Founder Rob Arnott is feeling “redeemed” after the rotation earlier this month from growth to value outperformance, according to an article in Bloomberg that says, “it smacks of…
Why Use One Value Factor When You Can Use Many
…and P/CF) are all represented by various factors. Value Factor One (VC1) Value Factor Two (VC2) Value Factor Three (VC3) Pure Play Value Factors Price-to-book Price-to-earnings Price-to-sales EBITDA/EV Price-to-cash…
Cheap Stock-Hunting Back in Favor
…article suggests that one possible factor is the rebound in Treasury yields, “as investors sold shares of higher growth technology companies in favor of buying beaten-down energy and financial stocks.”…
Value Investing: Improving the Odds
…“investors should avoid exposure to the Value factor when the yield curve flattens:” The study findings also indicate that nearly all performance of the value factor stems from an environment…
Never Say Never
…invest using factors do so because the long-term evidence suggests they produce excess returns over the market. Relying on the past to help figure out what will happen in the…