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2018 | OriginalPaper | Buchkapitel

7. Factor Investing II

verfasst von : Henrik Lumholdt

Erschienen in: Strategic and Tactical Asset Allocation

Verlag: 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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Vorheriges Kapitel Factor Investing I

Nächstes Kapitel Tactical Macro-Drivers

Nur mit Berechtigung zugänglich

For more on methodology, see https://www.msci.com/msci-factor-indexes

See also Asness et al. (2017).

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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.

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.

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Titel: Factor Investing II
verfasst von: Henrik Lumholdt
Verlag: Springer International Publishing
Buch: Strategic and Tactical Asset Allocation
Print ISBN: 978-3-319-89553-6

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

Copyright-Jahr: 2018
DOI: https://doi.org/10.1007/978-3-319-89554-3_7