…and better relative performance. Since the early 1990s, academics, such as a Eugene Fama and Kenneth French, have been studying risk factors, or the performance drivers, within the stock market….
Search Results for: factor
The Long, Long Term Rip Van Winkle Approach
…that that “investment performance is the biggest factor determining the long-term viability of these [pension] plans” and yet most pensions are allocating away from common stocks to higher priced alternatives…
Asness vs. Arnott on Smart Beta, Factor Timing, and Performance Chasing
…necessarily disagree with that point, he reads Arnott to be advocating a timing strategy to be employed along with factor analysis. “Factor timing is very tempting and, unfortunately, very difficult…
Validea’s Market Valuation Report: Large-Caps Looking Ultra-Pricey
…the time going back to 2005. TTM Price-to-Earnings Chart Conclusion: The market is trading at an above average valuation using the TTM PE ratio valuation factor. Large and mega-caps…
Comparing Active and Index/Passive Small-Cap Funds
…the five largest actively managed small-cap funds outperformed” with an average outperformance (where calculable) of 0.7%. Applying a six-factor analysis for the 2001-15 period, Swedroe finds that “just four of…
Does Passive Investing Distort the Market?
…twenty per cent of stocks are now owned by index funds,” and “when you factor in ‘closet indexing’ . . . the proportion of passive investors is higher still.” From…
Adding an Acceleration Factor to Momentum Investing
…While noting that such research is “still in its infancy,” Klement expresses optimism that “the acceleration factor may not only be used to improve the results of traditional momentum strategies,…
AQR's Asness on Fama, Momentum Investing and More
…a joyful occurrence for his confidence in the factor” because “Professor Fama has been taking the ‘risk’ side (vs. behavioral inefficiency) of the debate regarding why the value factor works…
Five Factor Quantitative Model Propels Alternative Fund to Top in its Category
…. the lowest fees of any alternative fund” at 0.25% annually (albeit with a minimum required investment of $250,000). The managers employ a five-factor quantitative model that identifies stocks likely…
Bogle's Straightforward Formula for Estimating Future Stock Price Returns
…data, the piece highlights his three-factor formula for determining the “sources of return.” These are: Starting yield (annual dividends divided by stock price) Earnings growth Speculative return (changes in pricing…