…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…
Search Results for: factor
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…
Asness: Hard to Say When Value Will Win Again
…death during the tougher times,” Asness said in an interview with The Australian Financial Review. According to Asness, value is a persistent factor because of the forces of behavioral finance….
CalPERS Moves $150 billion Under New Strategic Asset Allocation
…Pensions & Investments. “The pension fund’s strategic asset allocation implementation includes 15% invested in a new factor-weighted equity portfolio, as well as 35% in capitalization-weighted equities and 8% in private…
A New Method for Rebalancing Helps Systematic Models Get Better
…a turnover, tax and fundamental standpoint. Below are the steps that are incorporated into our tax efficient process. Four Factor Sell Score To determine if a stock is eligible to…
How Bad Will the Next Recession Be?
…the most consistent factor in recent recessions and see it as a continuing threat. The Goldman analysts write, however, that such a threat seems to be “in abeyance at present,…