PT  - JOURNAL ARTICLE
AU  - Noël Amenc
AU  - Felix Goltz
TI  - Long-Term Rewarded Equity Factors: <em>What Can Investors Learn from Academic Research?</em>
AID  - 10.3905/jii.2016.7.2.039
DP  - 2016 Aug 31
TA  - The Journal of Index Investing
PG  - 39--56
VI  - 7
IP  - 2
4099  - https://pm-research.com/content/7/2/39.short
4100  - https://pm-research.com/content/7/2/39.full
AB  - This article analyzes what academic research has to say on equity factors. The objective is to understand what lessons can be learned from such research on designing and evaluating factor indexes. When analyzing academic publications on equity factor investing, five important lessons emerge, which provide useful perspective on practical questions about factor indexes. This article looks at the empirical analysis that is required to identify rewarded factors. It then turns to the economic rationale behind factors and looks into the role of diversification for a given factor tilt. Moreover, it discusses the issue of implementation costs and addresses the question of crowding risks. Finally, the article discusses how popular practical implementations relate to the academic grounding.TOPICS: Mutual funds/passive investing/indexing, analysis of individual factors/risk premia, equity portfolio management