By Justin Carbonneau (@jjcarbonneau)—-Interested in chatting with Justin – let him know.—- Suppose you wanted to find the value stocks in today’s market using common value ratios. Which would you…
Tag: Factors
Hulbert: A New Approach to Momentum Investing
New research has shown that a more effective way to profit from the momentum effect is to buy the “hottest” factors rather than the best-performing stocks. This according to a…
Should CAPM Be Retired?
A new paper argues that factor investing challenges the decades-old Capital Asset Pricing Model (CAPM), according to an article in Institutional Investor. The paper’s co-author, Northern Trust Asset Management’s head…
A Better Use of Data in Emerging Market Investing
An article in Barron’s discusses how factor investing hasn’t taken on in emerging markets as much as in other asset classes, adding that “investors shouldn’t overlook the opportunities.” The article…
Factor Returns and Trading Costs
A recent article in Advisor Perspectives by BAM Alliance’s Larry Swedroe offers a list of criteria investors should consider when choosing a factor-based strategy. According to the article, “The factor…
Investors: Consider revenue-weighted ETFs
An article in CityWire suggests that investors should “forget the switch from active to passive” and consider investing in revenue-weighted indices. Citing Schroders research, the article reports that over the…
Research Affiliates Analysis Shows Weak Factors
A recent paper based on analysis by Research Affiliates shows that once research data is analyzed outside the original sample period, about half the factors were “not robust,” according to…
Five More Questions: Factor Investing with Jim O’Shaughnessy
By Jack Forehand, CFA (@practicalquant) This is Part II of my interview with Jim O’Shaughnessy. If you missed Part I, you can find it here. In part II, we talk…
Five Questions: An Academic Look at Factors with Lu Zhang
By Jack Forehand (@practicalquant) — One of the major challenges that the finance community has faced over the years is how to explain what drives stock returns over time. If…
Five Questions: A Wealth Manager’s View of Factors with Michael Batnick
By Jack Forehand (@practicalquant) — Factor Investing poses some interesting challenges for wealth managers. On one hand, the evidence is very strong that investing using factors produces superior to returns…