…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…
Search Results for: factor
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…
AQR Tests Market Timing Techniques, Helping to Boost Long Term Returns
…two core factors – valuation, measured by the cyclically adjusted PE (CAPE) factor made known by Rober Shiller, and momentum. Drawing on 115-year data, they found meaningful advantages to timing…
The Advantages of an Active Value Management Approach
Pzena Investment Management’s Third Quarter 2015 Community Newsletter says that “Value investing is not a simplistic factor, but rather a philosophy that requires research to outperform over the long run.”…
Low Returns Going Forward, Predicts Cliff Asness of Hedge Fund Behemoth ARQ
Clifford Asness, president and managing principle of AQR Capital Management, expects returns below the historical norm to be “the single largest factor out there we have to deal with.” He…
O’Shaughnessy Emphasizes the Value of "High-conviction" Buybacks Over the Long Term
…“lottery stocks,” noting that some do very well but the average return is negative. To evaluate the value of stocks, he uses a composite of various factors (such as price…