An article on the WisdomTree blog reports that the decade ending September 2018 was the “single worst decade in history” for price-book as a factor-sort of the market and asks,…
Search Results for: factor
Five Questions: Machine Learning in Investing with Kevin Zatloukal
…factor-based strategies and other strategies that invest using company fundamentals. Despite spending a lot of time studying AI, I am still very new to it, so I am certainly not…
Where Has All the Alpha Gone?
…Management described this idea in the context of factors in their paper Alpha Within Factors. The point they made in the paper is that investing using standard factors is settled…
New Study Shows Good Companies Often Make Bad Investments
…that unpopular stocks are usually avoided for a reason. “Investing in unpopular assets is hard” it concluded, adding that “any strategy or factor that is widely enough used will fail.”…
Gundlach Favors a Gold Stock Fund
…He says that China is a factor in this, but that EM has been broadly outperforming the U.S. in recent months. He notes that gold performs well when the dollar…
The Cons of Market Cap-Weighting
An article in Morningstar discusses the downside of using market-cap-weighted indexes, noting that within certain markets or strategies this approach can “compromise diversification and intended factor exposure.” “The assumption that…
Factor Timing: Skepticism in Order
…the article states, which could make it “one of the more promising candidates for use as a factor-timing signal. But while BlackRock found evidence that momentum-driven factor-timing works,” the author…
Five Questions: Private Equity in Public Markets with Brian Chingono
…things beat the lower ranked things. So the more concentrated the portfolio, the bigger the factor hit, and the better the returns from the model. But at the extremes of…
Learning from Buffett's Performance
…is a limiting factor and Buffett has told investors not to expect returns in the future to come close to those in the past. There were only two years in…
Rob Arnott on Quant Investing: Opportunities and Pitfalls
In a podcast interview last month with the Investment Innovation Institute, Research Affiliate’s Rob Arnott discussed a range of issues related to factor investing, quant strategies and research with host…