RT Journal Article
SR Electronic
T1 Factor Investing Revisited
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 7
OP 17
DO 10.3905/jii.2015.6.2.007
VO 6
IS 2
A1 David Blitz
YR 2015
UL https://pm-research.com/content/6/2/7.abstract
AB This paper takes another look at the recommendation of Blitz [2012] to allocate strategically to the value, momentum, and low-volatility factor premiums in the equity market. Five years of fresh data show that such a factor investing strategy continued to deliver out-of-sample. The potential added value of the two new factors in the Fama–French five-factor model, operating profitability and investment, is investigated and found to depend critically on the performance metric that is considered most important. The paper also reviews the role of small-cap stocks, factor timing, longonly versus long-short portfolio construction, international evidence, and factor investing beyond equities.TOPICS: Factor-based models, portfolio construction, volatility measures