For Style Factors, One Size Does Not Fit All
Abstract
Although the proliferation of “smart beta” products using various style factors makes them seem new, many of these factors have been used in portfolio construction and risk management for decades. This article examines the historical performance of style risk factors to show that 1) their returns vary widely through time, and even those with no long-term return association can have unexpected, outsized returns at times; 2) across geographical...
Paper Details
Title
For Style Factors, One Size Does Not Fit All
Published Date
Nov 27, 2017
Journal
Volume
26
Issue
4
Pages
127 - 137
Citation AnalysisPro
You’ll need to upgrade your plan to Pro
Looking to understand the true influence of a researcher’s work across journals & affiliations?
- Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
- Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.
Notes
History