Tag: size (Page 1 of 2)
Traditional academic equity factors exhibit time-varying beta exposure. Does this varying exposure imply returns from "market timing"?
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.
Re-specifying the Fama French 3-Factor Model
By Nathan Faber
On December 16, 2019