…“fizzled.” “The main factor behind the recent weakness is earnings growth,” says Russolillo. He cites projections by the firm RBC Capital Markets showing that S&P 500 companies with larger global…
Search Results for: factor
Factor Investing Can Keep Active Management Relevant
…the past several decades showing that certain factors can help securities outperform; market, low volatility, value, size, momentum, term and credit. “Studies show that factor exposure is responsible for the…
Ritholtz Says Stock-Picking is Still Alive if Not Kicking
…suggest that much of active investing performance is attributable to factor-based strategies (picking stocks based on things like market cap, profitability, value, etc.), but index investing offers a cheaper way…
Book Value - A Buffett Favorite, But Far From Perfect
…a popular factor, taking book value into consideration, but the effectiveness of this value factor has been fading recently. A prominent quantitative firm shows how share buybacks may be clouding…
Asness versus Arnott: The Factor Timing Debate Continues
…approach to factor timing,” the conclusions of which were tested by Asness and his team through trading simulations on a multi-factor portfolio both with and without factor-based timing strategies. Results…
Simple is Smart in Smart-Beta Investing
Using a database of over 20 countries, a team of British academics tested the five most popular smart beta factors to see whether they would have proven successful over time….
Greenblatt Blends Active and Passive Strategies in New Fund
…that are cheaper than average with good prospects.” Gotham’s investment style is not factor-based (according to metrics such as price-book or price-sales ratios). He explains, “We want to know over…
Rob Arnott Says Clock is Ticking on Smart Beta ETFs
…quantitative factors like volatility or “cheapness”, and the article explains that Arnott’s position is nothing new (he publicly battled with Cliff Asness on the topic a year ago). In fact,…
Sentiment Measures Are Not Reliable Investment Cues
…an inherently unquantifiable factor.” He quotes Morgan Housel, who believes that, “Most investing is simple, but we complicate it.” Taking investment cues from sentiment measures is likened to market-timing. The…
Fundamentally-Focused Momentum Stock Picks
…data illustrating that the risk premium associated with the momentum strategy leads to long-term performance (see factor chart below). He describes the Validea momentum strategy (which combines the investment approach…