…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…
Search Results for: factor
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…
Is There Hope for Value Investing?
…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.”…
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…