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Fama-French 5-factor model: why more is not always better
Fama-French 5-factor model: why more is not always better
Fama and French have expanded their original three-factor model by adding two factors, namely investment and profitability.
10-03-2022 | インサイト
What’s up with Momentum?
What’s up with Momentum?
Momentum had its ‘shot of momentum’ in 2020.
04-02-2021 | インサイト
Strong hands needed to unlock the potential of factor investing
Strong hands needed to unlock the potential of factor investing
The average investor is not good at timing.
19-06-2019 | インサイト
Crash testing the Fama-French factor model in emerging stock markets
Crash testing the Fama-French factor model in emerging stock markets
Factor investing works in emerging stock markets, as well as in developed markets.
10-12-2018 | リサーチ
Guide to factor investing in equity markets
Guide to factor investing in equity markets
Factor investing is on the rise.
01-06-2018 | インサイト
Fama-French 5-factor model: five major concerns
Fama-French 5-factor model: five major concerns
In 2015, Nobel prize laureate Eugene Fama and fellow researcher Kenneth French revamped their famous 3-factor model.
27-03-2018 | リサーチ
ファクター投資理論の実践
ファクター投資理論の実践
ファクター投資を実践するにあたり、基本的に投資家はどのような手順を踏めばよいのでしょうか。
20-03-2018 | インタビュー
パッシブ運用による損失
パッシブ運用による損失
パッシブ運用は人気を集めていますが、実は深刻な懸念を伴います。
28-12-2017 | Column
Next time, ask your fund manager what kind of car they drive
Next time, ask your fund manager what kind of car they drive
Tell me what car you drive and I will tell you who you are.
13-12-2017 | From the field
Research reveals why sin stocks outperform
Research reveals why sin stocks outperform
The mystery of sin stocks’ outperformance has finally been unraveled.
11-09-2017 | リサーチ
Net alpha is not a measure of a manager’s skill
Net alpha is not a measure of a manager’s skill
Jules van Binsbergen is an expert on topics related to both asset pricing and corporate finance.
06-09-2017 | インタビュー
Factor investing challenges: underperforming the benchmark
Factor investing challenges: underperforming the benchmark
Factor based allocation has become increasingly popular in recent years.
31-05-2017 | Factor investing challenges
Factor investing challenges: limiting turnover
Factor investing challenges: limiting turnover
Factor-based allocation has become increasingly popular in recent years.
05-05-2017 | Factor investing challenges
Factor investing challenges: unintended sector biases
Factor investing challenges: unintended sector biases
Factor-based allocation has become increasingly popular in recent years.
31-03-2017 | Factor investing challenges
Is the relationship between risk and return positive or negative?
Is the relationship between risk and return positive or negative?
This paper challenges the earlier work of Fu (2009).
16-11-2016 | From the field
The profitability of low volatility
The profitability of low volatility
Some people argue that the low risk anomaly can be explained by ‘profitability’, an example of a ‘quality’ factor.
08-09-2016 | リサーチ
Is rebalancing the source of factor premiums?
Is rebalancing the source of factor premiums?
Some argue that the mere mechanism of rebalancing increases returns, and that this explains the success of factor investment strategies.
14-08-2015 | リサーチ
What history teaches us: 7 lessons for factor investing
What history teaches us: 7 lessons for factor investing
Long-term historical data will give you insights for the future, says Professor Elroy Dimson.
29-09-2014 | ビデオ
How factor investing fits into active vs passive
How factor investing fits into active vs passive
Why factor investing makes sense.
19-09-2014 | ビデオ
Factor investing: from theory to practice
Factor investing: from theory to practice
The theoretical returns of factors such as value, low-volatility and momentum are well documented.
21-11-2012 | ビデオ
Short-term residual reversal
Short-term residual reversal
Conventional short-term reversal strategies exhibit dynamic exposures to the Fama and French (1993) factors.
17-11-2011 | リサーチ