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Depuis, des centaines d'autres « facteurs » sont apparus dans la littérature, créant ce « zoo » actuel. Cela a déclenché un débat animé sur le nombre de facteurs différents qui existent réellement.",[],{"nodeType":963,"data":964,"key":965},"break",{},"break-0-0",{"nodeType":963,"data":967,"key":968},{},"break-0-1",{"nodeType":17,"data":970,"value":971,"marks":972},{},"Dans une nouvelle note, nous présentons notre point de vue sur ce débat. Nous partageons les craintes exprimées dans plusieurs articles académiques récents, selon lesquelles de nombreux facteurs parmi les centaines qui ont été proposés ces dernières décennies peuvent être attribués au data mining. Toutefois, nous ne pensons pas que l'intégralité de ce zoo puisse être ramené à une poignée de facteurs seulement.",[],{"nodeType":963,"data":974,"key":975},{},"break-0-2",{"nodeType":963,"data":977,"key":978},{},"break-0-3",{"nodeType":17,"data":980,"value":981,"marks":982},{},"Bien que le petit nombre de facteurs utilisés dans les modèles d'évaluation des prix des actifs puisse constituer un très bon point de départ, les choses ne s'arrêtent pas là. Dans nos recherches, nous trouvons des preuves d'existence pour des dizaines de facteurs. Ceux-ci incluent des facteurs qui sont refusés ou rejetés à tort, de nombreux autres nécessaires à la compréhension d'un phénomène plus large, des facteurs basés sur des sources de données non standards ou disposant d'un historique limité, et des facteurs de « prochaine génération » basés sur le big data, le machine learning ou l'intelligence artificielle.",[],{"alignment":984},"100 Center",{"id":102,"title":986,"text":987,"design":1082,"type":99},"Un petit nombre de facteurs composites",{"nodeType":9,"data":988,"content":989},{},[990],{"nodeType":13,"data":991,"content":992},{},[993,997,1011,1014,1017,1020,1024,1027,1030,1034,1037,1040,1044,1058,1062,1065,1068,1072,1075,1078],{"nodeType":17,"data":994,"value":995,"marks":996},{},"Cela dit, pour des raisons pratiques de mise en œuvre, il est courant de regrouper les facteurs dans un petit nombre de facteurs composites stratégiques. Le facteur faible risque regroupe des indicateurs tels que la volatilité et le beta, qui sont mesurés sur différentes périodes antérieures et différentes fréquences de données, mais aussi des indicateurs de risque de détresse, tels que la distance jusqu'au défaut et les ",[],{"nodeType":565,"data":998,"content":1006},{"target":999,"type":29,"props":1002},{"sys":1000},{"id":1001,"type":27,"linkType":28},"53gk10feS05hqq4GxVfjar",{"id":1001,"internal":1003,"title":1004,"url":1005,"isAllowed":537},"Glossary - Fixed income - Credit spread","Credit spread","/glossaire/obligations/credit-spread",[1007],{"nodeType":17,"data":1008,"value":1009,"marks":1010},{},"spreads de crédit",[],{"nodeType":17,"data":1012,"value":580,"marks":1013},{},[],{"nodeType":963,"data":1015,"key":1016},{},"break-2-0",{"nodeType":963,"data":1018,"key":1019},{},"break-2-1",{"nodeType":17,"data":1021,"value":1022,"marks":1023},{},"Le facteur valorisation rassemble toutes les variables qui permettent de calculer le prix par rapport aux fondamentaux, tels que la valeur comptable, les résultats et les flux de trésorerie. Ces ratios peuvent être ajustés, pour tenir compte par exemple du risque de détresse ou de l'empreinte écologique.",[],{"nodeType":963,"data":1025,"key":1026},{},"break-2-2",{"nodeType":963,"data":1028,"key":1029},{},"break-2-3",{"nodeType":17,"data":1031,"value":1032,"marks":1033},{},"Le facteur qualité est essentiellement un mélange hétéroclite de fondamentaux d'entreprise, tels que la rentabilité, la qualité des résultats et les schémas d'investissement. Nous sommes d'accord avec les scientifiques qui estiment que ceux-ci sont en fait distincts, mais nous suivons les pratiques de l'industrie qui consiste à les combiner dans une catégorie « qualité » commune.",[],{"nodeType":963,"data":1035,"key":1036},{},"break-2-4",{"nodeType":963,"data":1038,"key":1039},{},"break-2-5",{"nodeType":17,"data":1041,"value":1042,"marks":1043},{},"Concernant le facteur momentum, c'est globalement l'inverse. Les universitaires et les fournisseurs d'indices ",[],{"nodeType":565,"data":1045,"content":1053},{"target":1046,"type":29,"props":1049},{"sys":1047},{"id":1048,"type":27,"linkType":28},"6U6WxnHuODWJMcJfYCVQxx",{"id":1048,"internal":1050,"title":1051,"url":1052,"isAllowed":537},"Glossary - Quantitative investing - Smart Beta or Alternative Beta","Smart Beta or Alternative Beta","/glossaire/investissement-quantitatif/smart-beta-or-alternative-beta",[1054],{"nodeType":17,"data":1055,"value":1056,"marks":1057},{},"smart beta",[],{"nodeType":17,"data":1059,"value":1060,"marks":1061},{}," ont tendance à considérer le momentum comme un facteur unique (momentum des prix), mais nos recherches montrent qu'il vaut mieux le considérer comme une famille de différents facteurs liés au sentiment, en particulier le momentum des prix et les révisions des analystes.",[],{"nodeType":963,"data":1063,"key":1064},{},"break-4-0",{"nodeType":963,"data":1066,"key":1067},{},"break-4-1",{"nodeType":17,"data":1069,"value":1070,"marks":1071},{},"Enfin, il existe un autre ensemble important de facteurs à court terme. Ceux-ci sont généralement ignorés par les universitaires comme par les fournisseurs d'indices, alors qu'ils sont très efficaces pour anticiper les transactions. Ce thème inclut divers phénomènes d'inversion, des signaux basés sur les intérêts à court terme et des signaux découlant de l'évolution des volumes de trading.",[],{"nodeType":963,"data":1073,"key":1074},{},"break-4-2",{"nodeType":963,"data":1076,"key":1077},{},"break-4-3",{"nodeType":17,"data":1079,"value":1080,"marks":1081},{},"Pour résumer, nous partons d'un zoo académique composé de centaines de facteurs présumés que nous ramenons à quelques dizaines qui fonctionnent vraiment et que nous classons dans un petit nombre de facteurs composites.",[],{"alignment":984},{"id":105,"title":1084,"text":1085,"link":1095,"design":1099,"type":104},"Découvrez la valeur de l'investissement quantitatif",{"nodeType":9,"data":1086,"content":1087},{},[1088],{"nodeType":13,"data":1089,"content":1090},{},[1091],{"nodeType":17,"data":1092,"value":1093,"marks":1094},{},"Abonnez-vous pour tout savoir sur les stratégies quantitatives de pointe.",[],{"id":1096,"internal":1097,"title":1098,"url":604,"variant":605},"DS3ugo1WlvSfVuhxYLdFj","Newsletter Subscribe | Explore quant - secondary blue","Découvrez l'investissement quantitatif",{"cirle":1100},"Blue-Orange",{"id":32,"form":1102,"design":1111,"type":107},{"id":1103,"internal":5,"typeForm":1104,"consent":1105,"links":1106},"5yL6mDWw1OuMI6pdfFx4Uv","Download","factor-investing",[1107],{"id":1108,"internal":5,"title":1109,"url":1110,"external":537,"openInNewWindow":537,"variant":33},"6bbMyspvkHN1NNVaKE7jEN","Téléchargez  ","/files/docm/docu-202003-how-to-navigate-the-factor-zoo.pdf",{"background":91,"hasBlueCirle":79}]