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Published in:
Introduction to Asset Allocation Read chapter Read first chapter

2018 | OriginalPaper | Chapter

7. Factor Investing II

Author : Henrik Lumholdt

Published in: Strategic and Tactical Asset Allocation

Publisher: Springer International Publishing

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Abstract

This chapter continues the analysis of factor investing, focusing on two main questions. Firstly, what gives rise to factor returns and are these returns likely to be persistent? Secondly, which are the key issues to be considered in the practical implementation of factor investing?

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previous chapter Factor Investing I
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Appendix
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Footnotes
3
See also Asness et al. (2017).
 
5
This corresponds to defining the phase of the cycle according to the position of and change in the output gap, as outlined in the following chapter.
 
6
We also found (not shown here) that an equally weighted portfolio of the five factors yields a higher risk-adjusted return than the benchmark, in line what we saw previously.
 
7
Arguably, markets price both phases incorrectly which highlights the relevance of Warren Buffett’s famous dictum: “be fearful when others are greedy and greedy when others are fearful”.
 
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Metadata
Title
Factor Investing II
Author
Henrik Lumholdt
Copyright Year
2018
Book
Strategic and Tactical Asset Allocation

Print ISBN: 978-3-319-89553-6

Electronic ISBN: 978-3-319-89554-3

Copyright Year: 2018

DOI
https://doi.org/10.1007/978-3-319-89554-3_7