Research Affiliates has published new research showing managers fail to capture theoretical factor returns. But is it their research method flawed?
We visualize the anxiety caused by relative performance of several popular factor tilts in comparison to standard market benchmarks.
When investors choose active managers, they introduce active risk into their portfolio, an extra risk that should be be accounted for in risk management.
The size factor risk-premium has been elusive in recent history. Focusing on alternative methods of harvesting it may benefit investors in the long run.
While factors exhibit risk premier over long time horizons, they can significantly underperform in the short-term. In this post, we highlight one of these.