On Validea.com, we run 22 public facing models. Most of the models are a combination of fundamental factors, combining measures like profitability, valuation, cash flows, levels of debt, relative valuation,…
Tag: Factors
The “Value” Phoenix May Rise
A recent Advisor Perspectives article argues that the value investing strategy shouldn’t be counted out just yet. “We have seen flickers of value’s reemergence,” it reports, adding, “After outperforming momentum…
Quants Find the Missing Piece
New research has found that the implementation methods related to some factor-based investing strategies is the culprit for underperformance, and that “a simple formula can solve it.” This according to…
A Detailed Look at the Quality Factor
By Jack Forehand, CFA There is probably no investing factor that makes more sense to your average investor than quality. We all want to own great companies – think Apple, Microsoft,…
Excess Returns, Ep. 14: Some Thoughts on the Struggles of Factor Investing in the Past Decade
The long-term evidence to support factor investing is compelling. Academic work has shown that factors like value and momentum have produced an excess return relative to the market over time.…
Some Thoughts on the Struggles of Factor Investing in the Past Decade
By Jack Forehand, CFA (@practicalquant)The long-term evidence to support factor investing is compelling. Academic work has shown that factors like value and momentum have produced an excess return relative to…
Morningstar Study: Which Investment Factors Work?
A recent article in Morningstar outlines results of a study the firm conducted on seven investment factors showing that volatility, size and momentum worked best. The article provides the following…
Dimensional Changes investment Process
After years of research, quant investing pioneer Dimensional Fund Advisors added a new source of return to its investment process, according to a recent article in Institutional Investor. “Dimensional is…
Five Questions: Factor Timing with Nicolas Rabener
By Jack Forehand, CFA (@practicalquant) Factor timing is a pretty controversial topic in the quantitative investing world. On one hand, we are all taught that we should buy low and…
Factor Investing's Brutal Truth
A new study published in the financial Analysts Journal argues that although asset managers can generate more returns by using market timing factors than they can with passive strategies, associated…