Summary: Factor strategies have grown exponentially in the past decade. Almost every major asset manager now offers their variation of things like value, momentum, quality, and low volatility. But to use them properly, it is important to understand what they can and can't do. In this week's episode, we discuss the common misconceptions about factor strategies and what they can deliver for investors.
Jack's article: http://blog.validea.com/six-common-misconceptions-about-factor-based-strategies/
Value Stocks and Struggles: https://www.institutionalinvestor.com/article/b1j0mvcy9792vt/Why-Value-Investing-Sucks
Probability of Factor Underperformance: https://www.advisorperspectives.com/articles/2018/11/05/what-to-do-when-an-investment-strategy-performs-poorly
Importance to comparing to the right benchmark: https://investor.vanguard.com/investing/portfolio-management/performance-overview
AQR Paper: Fact, Fiction, and the Size Effect: https://www.aqr.com/-/media/AQR/Documents/Whitepapers/Fact-Fiction-and-the-Size-Effect.pdf
Validea's Piotroski and Mohanram-based models:
https://www.validea.com/joseph-piotroski
https://www.validea.com/partha-mohanra
#ExcessReturns #Factors #InvestingStrategies
ABOUT THE PODCAST
Excess Returns is an investing podcast hosted by Jack Forehand (@practicalquant) and Justin Carbonneau (@jjcarbonneau), partners at Validea. Justin and Jack discuss a wide range of investing topics including factor investing, value investing, momentum investing, multi-factor investing, trend following, market valuation and more with the goal of helping those who watch and listen become better long-term investors.
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