Author: FactorResearch

Factor Olympics Q1 2018
Value Investing

Factor Olympics Q1 2018

And the Winner is… SUMMARY 2018 started negative for the majority of factors Momentum, Quality and Growth showed the strongest performance Low Volatility, Dividend Yield and Value generated negative returns See 2017 Hedge Fund Letters. INTRODUCTION We present the performance […]

Dividend Yield Combinations
Value Investing

Dividend Yield Combinations

Enhancing Dividend Yield SUMMARY Buying high yielding and selling low yielding stocks is not an attractive strategy Combining Dividend Yield with Quality & Growth factors improves the performance Interestingly Dividend Growth adds relatively little value [REITs] Check out our H2 […]

What’s In A Factor? Breakdown By Sectors
Economics

What’s In A Factor? Breakdown By Sectors

This research was originally published by the CFA Institute’s Enterprising Investor blog. Here is the link. SUMMARY Some factors show structural sector exposure while others rotate sectors frequently Sector concentrations explain factor performance and may represent concentration risks Value is currently long […]

Factor ETFs & Futures
Economics

Factor ETFs & Futures

SUMMARY Investors can directly access factor returns via ETFs in the US & futures in Europe However, neither of these come without some investor concerns Realised returns differ substantially from theoretical returns INTRODUCTION Despite factor investing having gained immense popularity […]