…has driven away enough investors to set up value strategies for a successful future,” but notes that this might be offset by large investors channeling money into the value “factor.”…
Search Results for: factor
Quant Strategy for Picking Basketball Winners
An recent article in Bloomberg suggests that a factor investing technique might work well when picking winners in the March Madness brackets. The technique involves integrating traditional factor criteria with…
In a Stock and Bond Twilight Zone, Balance is Key
…he advises, “you want to own defensive equities.” In their rush to hedge, the article notes, more money managers are becoming “price-agnostic.” Holly Framsted, head of U.S. factor ETFs at…
New Metric for Financial Performance: Return on Integrity
…firm Authentic Investor, who argues that integrity should be a central factor in today’s investment decisions: “Integrity for an investment professional now means paying full attention to the impacts of…
Lessons from a Quantitative Investing Conference – Part Deux
…for popular factor strategies like value and momentum. At a high level, it doesn’t make sense for anyone to be on the other sides of these trades. If these factors…
Cost of Smart Beta Leads to Distorted Investor Expectations
…index products with factor tilts.” It uses the example of the value factor to provide an example: The chart shows that the “long-short value factor outperforms smart beta. So, investors…
Twin Momentum: A Combination of Fundamental & Price Momentum
…numerous academic studies and white papers backing-up the robustness of the momentum factor. The knocks against momentum, however, are that often times these strategies are ultra-high in turnover, making them…
The Balance Between Simple and Complex in Investing
…value in their 3-factor and 5-factor models, they only used one variable. They found that using the Price/Book ratio to identify value stocks resulted in excess return over long periods…
BlackRock Bets on Momentum Strategy Comeback
…tend to power rallies like tech” According to Holly Framsted, head of U.S. factor ETFs for BlackRock’s index investments group, “We find that relative strength on momentum continues to be…
Five Methods for Intangible Asset Valuation
…factor relative to the intangible asset. The following chart summarized the models: The article concludes: “In today’s economy, the value provided by intangible assets must be captured in enterprise valuation….