Investing in systematic factor premiums

Autor: University, Tilburg, Slager, A.M.H., Stork, P.A.
Přispěvatelé: Accounting, Finance, VU SBE Executive Education
Jazyk: angličtina
Rok vydání: 2016
Předmět:
Zdroj: University, T, Slager, A M H & Stork, P A 2016, ' Investing in systematic factor premiums ', European Financial Management, vol. 22, no. 2, pp. 193-234 . https://doi.org/10.1111/eufm.12081
European Financial Management, 22(2), 193-234. Wiley-Blackwell
ISSN: 1468-036X
DOI: 10.1111/eufm.12081
Popis: 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 portfolios than market indices. We expand the analysis to other asset classes and factors, work with other optimisation methods and add a basic liability structure. The results do not depend on adding other asset classes or on the removal of a specific factor. Finally, we study the results for a worldwide investor who invests beyond the US and Europe. Over the longer term and with consistently applied factor diversification, factor investing appears to be advantageous.
Databáze: OpenAIRE
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