Many studies document that factors such as value, momentum, quality and low-volatility lead to better investment results, but if that is the case, why haven’t large institutional investors arbitraged these factors away? Or can it be rational for mutual fund portfolio managers to actually go against proven factors? In this internship we want to examine the relationship between factor exposures and mutual fund performance and flows.
Literature: Blitz, “Are Exchange-Traded Funds Harvesting Factor Premiums?”, SSRN working paper no. 2912287 (forthcoming Journal of Investment Consulting), 2017.