Factor Investing in Practice
Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi KyosevWorking paperA version of this paper can be found here[ref]hat tip to Art [...]
Compound Your Knowledge Episode 5: Size & Value
In today’s video, we examine two posts from last week. First, we examine Wes' post on the Size factor. Second, we examine a paper by [...]
Is There a Size Effect in the Stock Market?
One of the oldest and most persuasive arguments in the stock market is that small stocks outperform large stocks.[ref]A version of this showed up in [...]
How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons
Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries [...]
Size and Value in China
Size and Value in China Jianan Liu, Rob Stambaugh, and Yu Yuan Journal of Financial Economics A version of this paper can be found here What [...]
The Inconsistent Performance of Value and Size Factors in the Chinese A-Share Market
Fama–French in China: Size and Value Factors in Chinese Stock Returns Grace Xing Hu, Can Chen, Yuan Shao, and Jiang Wang International Review of Finance [...]
Factor Investors Beware: Positive SMB May Not Mean You Own Small-Caps
Regression analysis is used all the time to assess how a portfolio "loads" on certain factors. The most common factor loadings examined are the market, [...]
Chinese Market Anomalies – The Factor Killer?
The Oracle of Omaha just commented on the Chinese stock market in this year's Berkshire's annual meeting: ...Markets have a casino characteristic that has a [...]
Will ETFs Destroy Factor Investing? Nope.
One of the popular investing truisms is the following (inspired by Bill Sharpe): For somebody to beat the market (win) someone else has to lag [...]
Factor Investing is More Art, and Less Science
Albert Einstein is reported to have said the following: The more I learn, the more I realize how much I don’t know. We can relate. [...]
An interesting look at the size anomaly
Many of you are probably aware of the paper from AQR entitled, "Size Matters: If you control for your junk." We loved the title so [...]
Does the Small-cap “size” effect exist? Probably.
The traditional small-minus-big value-adjusted long/short factor (SMB) developed by Gene Fama and Ken French has arguably added NO value over time. Performance over the past 30 years [...]