Facts and fantasies about factor investing

Z Cazalet, T Roncalli - Available at SSRN 2524547, 2014 - papers.ssrn.com
The capital asset pricing model (CAPM) developed by Sharpe (1964) is the starting point for
the arbitrage pricing theory (APT). It uses a single risk factor to model the risk premium of an …

Investing in systematic factor premiums

KG Koedijk, AMH Slager… - European Financial …, 2016 - Wiley Online Library
In this paper we investigate and evaluate factor investing in the US and Europe for equities
and bonds. We show that factor‐based portfolios generally produce comparable or better …

International low-risk investing

C Walkshäusl - Journal of Portfolio Management, 2014 - search.proquest.com
This article comprehensively examines the performance, investment behavior, and co-
movement of minimum-volatility, low-volatility, and low-beta strategies in international …

Understanding industry betas

L Baele, JM Londono - Journal of Empirical Finance, 2013 - Elsevier
This paper models and explains the dynamics of market betas for 30 US industry portfolios
between 1970 and 2009. We use DCC–MIDAS and kernel regression techniques as …

Low-volatility portfolio construction: ranking versus optimization

AM Soe - The Journal of Index Investing, 2012 - pm-research.com
Among the long-standing anomalies in modern investment theory, per-haps none is as
puzzling and compelling as the low-volatility effect. It challenges the traditional equilibrium …

The Low Volatility Effect: A Comprehensive Look

AM Soe - Available at SSRN 2128634, 2012 - papers.ssrn.com
We analyze the low volatility effect in the US equity market with a focus on the common
properties of various low volatility strategies. We examine the two major approaches to …

[PDF][PDF] Fire! Fire! Is US Low Volatility a Crowded Trade?

HS Marmer - The Journal of Investing, 2015 - hillsdaleinv.com
Picture George Costanza screaming “FIRE! FIRE!” and barreling his way out the door,
knocking over old women and children, and you will have a very good visual idea of what a …

The'Many Faces' of Mutual Fund Revenue Sharing

JA Haslem - Available at SSRN 2136614, 2014 - papers.ssrn.com
The objective of this study is to take some of the mystery out of mutual fund revenue sharing,
but without being able to say investors have transparent disclosure. Topics begin with the …

Market Volatility and Momentum: Evidence from Pakistani Stock Exchange

AR Khan, M Waqas, A Hassan - Sukkur IBA Journal of …, 2017 - journal.iba-suk.edu.pk
This study explores the relationship between market volatility and momentum profitability.
This study indicates that market state volatility has significant power to forecast momentum …

Ten things you should know about low-volatility investing

P Van Vliet - Journal of Investing, 2011 - pm-research.com
Academic evidence shows that low-volatility stock portfolios (LVPs) earn high risk-adjusted
returns. 1 Several asset managers have created mutual funds that target this specific …