Global Factor Performance: December 2021
factor performance modules have been updated
Value and Momentum Factors? Naw, Focus on the Music Factor!
Can market sentiment be derived from the tunes that your fellow countrymen are listening to? According to the research summarized here you'll find that there is important market information buried in the listening habits of Spotify users.
Size, Value, Profitability, and Investment Factors in International Stocks
Using data on 65,000 stocks from 23 countries, they evaluated the performance of the Fama-French factors, examining the factor premia in global markets to verify their robustness across different company size categories and geographical regions. Their data sample covered the period 1987-2019.
The Value of the Value Factor: Cheaper now than a year ago?
About a year and a half ago, after one of the worst relative drawdowns the value factor has ever seen, I wrote a piece showing the value factor was cheap relative to history. Since then, value strategies are on a solid run (look at pretty much any type of value strategy and I think you'd agree). Today? The valuation spread between the cheapest 10% and the universe of stocks is cheaper. We are at levels beyond 1999 by some measures.
Chasing Low Beta Loses Alpha
One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relationship between risk and return. However, empirical studies have found the actual relationship to be basically flat, or even negative. Over the last 50 years, the most “defensive” (low-volatility or low-beta, low-risk) stocks have delivered both higher returns and higher risk-adjusted returns than the most “aggressive” (high-volatility, high-risk) stocks.
Factor Investing Deep Dive with Jack Vogel
Ben and Cameron, which host the excellent Rational Reminder podcast, sit down with Jack Vogel and go through a laundry list of factor investing questions
The Vanishing Illiquidity Premium
Liquidity—the ability to buy and sell significant quantities of a given asset quickly, at low cost, and without a major price concession—is valuable to investors. [...]
The Momentum Factor is Driven by Behavioral Bias, Not Risk
Momentum, Reversals, and Investor Clientele Andy Chui, Avanidhar Subrahmanyam, and Sheridan TitmanReview of Financial Studies, 2021A version of this paper can be found hereWant to read [...]
Global Factor Performance: November 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Do factors have a role in asset allocation?
The Role of Factors in Asset Allocation Mark KritzmanJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]
Global Factor Performance: October 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Do Big Value Spreads Mean Big Returns to Value Strategies?
Deep Value Cliff Asness, John Liew, Lasse Heje Pedersen, and Ashwin ThaparJournal of Portfolio ManagementA version of this paper can be found hereWant to read our [...]
Value Investing and Intangibles
Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just [...]
Crowding and Factor Premiums
My March 23, 2021, article for Alpha Architect addressed the issue that in recent years the field of empirical finance has faced challenges from papers arguing that [...]
Jack Discusses Value Investing on Meb Faber Show
Here is a link to our recent chat on The Meb Faber Show regarding the details on Value Investing: An Examination of the 1,000 Largest [...]
Is Currency Momentum Factor Momentum?
A large body of evidence, including the studies “Is There Momentum in Factor Premia? Evidence from International Equity Markets,” Factor Momentum Everywhere (Summary)” and “Factor [...]
Is The Value Premium Smaller Than We Thought?
From 2017 through March 2020, the relative performance of value stocks in the U.S. was so poor, experiencing its largest drawdown in history, that many [...]
Global Factor Performance: September 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
How to Launch an ETF with Meb, Patrick, and Wes
Here is a link to our recent chat on The Meb Faber Show regarding the details on how to launch an ETF: This topic is [...]
Factor Timing Is Tempting
Academic research has found that factor premiums are both time-varying and dependent on the economic cycle. For example, Arnav Sheth, and Tee Lim, authors of [...]