Abstract
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. <b>TOPICS:</b>Factor-based models, portfolio construction, volatility measures
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
