Multifactor Indexes Made Simple: A Review of Static and Dynamic Approaches
| Autor: | Mehdi Alighanbari, Chin Ping Chia |
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| Rok vydání: | 2016 |
| Předmět: | |
| Zdroj: | The Journal of Index Investing. 7:87-99 |
| ISSN: | 2374-135X 2154-7238 |
| DOI: | 10.3905/jii.2016.7.2.087 |
| Popis: | Multifactor index fund allocations are increasingly becoming the preferred approach to factor investing. This article examines the return–risk characteristics of nine static and dynamic weighting strategies over a 36-year period. The results highlight that a simple strategy that equal weights multiple factor indexes has historically proved more effective than many of the more complex approaches—pointing to its potential as a way to combine factors, especially in the absence of active investment views and skills. However, a dynamic factor-weighting strategy based on fundamental signals also has merit if the investor believes she has the insight or skills required. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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