…or factor-based funds. Only 5 percent signaled they would increase their traditional passive positions. These views, the article reports, are driven by lower future return expectations across markets and an…
Search Results for: factor
Hulbert: Surprising Connection Between Bull Market and Share Buybacks
…by far the most important factor in the outperformance of certain countries’ stock markets in recent decades. The researchers,” he adds, “found little support for this belief.” The study, which…
Five Questions: Factor Investing with Jim O’Shaughnessy
By Jack Forehand (@practicalquant) Factor investing has grown dramatically in recent years. But it is far from new. As those of us who invest using factors seek to learn more…
Long Term Compounding Using Low Volatility & Other Fundamental Factors
…with lower volatility. What’s more, when you apply a volatility factor to things like size and value you actually get additional levels of alpha generation. So the lower the risk,…
Five Questions: The Importance of Narratives with Ben Hunt
…I think factor-based strategies will work over time and how the factors like value that have worked in the past are likely to continue to work in the future. In…
The Mechanics of Value Investing
…reason), the more exposure to the value factor it has, and the better the long-term returns will likely be. But with more focus comes more tracking error, which means that…
Valuation Metrics and Spreads Can Inform Future Returns
…across stocks. The October 2018 study findings are as follows: There are common variables that forecast all factor premiums (except profitability) and provide evidence that the individual stock premiums also…
Five Questions: An Academic Look at Factors with Lu Zhang
…The q-factor model contains four factors, including the market, size, investment, and return on equity factors. I wish to point out the fact that the q-factor model predates the Fama-French…
Expanding the Opportunity Set with Shareholder Yield
…Multi-Factor Investor Pim van Vliet High Returns from Low Risk: A Remarkable Stock Market Paradox This multi-factor model seeks low volatility stocks that also have strong momentum and high net…
Five Questions: A Wealth Manager’s View of Factors with Michael Batnick
By Jack Forehand (@practicalquant) — Factor Investing poses some interesting challenges for wealth managers. On one hand, the evidence is very strong that investing using factors produces superior to returns…