…premiums found in these factors in developed markets were not a result of data mining exercises, which, in turn, should offer confidence that an ex-ante premium for these factors exists…
Search Results for: factor
Could Simple be the New Complex?
…ends up beating the complex. Sticking to the Basics Simplicity has also been very successful historically in value investing. Much of the academic research on value used fairly basic factor-based…
Volatility Presents Hidden Risk to Hedge Fund Returns
…their returns.” Blitz says that moving away from a low-volatility factor represents one of the “top three drivers of fast money performance.” While the article acknowledges that the low-volatility factor…
Swedroe on What Makes Factors Last
…be met to suggest that a factor will endure. According to Swedroe, a factor should first meet the following two conditions: Be a unique source of risk and return not…
Top Stock Picker on the Hunt for Value
…fed has raised rates, “financial conditions are as loose as ever” and credit is readily available. The dollar, says De Vaulx, “keeps bouncing back,” which is a negative factor for…
Will Factor Investing Kill Hedge Funds?
…a hedge fund killer,” through its participation in the “revolution” of factor investing that is “sweeping through the asset management industry.” The article, which describes factor investing as “part of…
Quants Find Profit in ETF Anomaly
…who led the Deutsche team, concludes, “Whether or not it’s a factor is debatable. But this is an anomaly that we found and it’s worth exploring further.” …
BAM's Swedroe Discusses Size Effect
…is made stronger when size is “combined with the newer common factors of profitability, quality and defensive (low beta).” The quality factor is important with respect to the size premium:…
The Double Edged Sword of Avoiding Value Traps
…between avoiding the bad stocks while not avoiding the good ones is an incredibly difficult one, and even the best investors and factor-based systems struggle with it. I have seen…
If You Take Risk, Get Compensated for It
By Jack Forehand (@practicalquant) — Investing can seem incredibly complex at times. With the rise of complicated computer-based strategies, more and more factors being discovered every day, and even more…