@article {Blitz7, author = {David Blitz}, title = {Factor Investing Revisited}, volume = {6}, number = {2}, pages = {7--17}, year = {2015}, doi = {10.3905/jii.2015.6.2.007}, publisher = {Institutional Investor Journals Umbrella}, 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{\textendash}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.TOPICS: Factor-based models, portfolio construction, volatility measures}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/6/2/7}, eprint = {https://jii.pm-research.com/content/6/2/7.full.pdf}, journal = {The Journal of Beta Investment Strategies} }