Now more than ever, it’s time to think outside the Fama-French factor box
2010-2019 was a lost decade for the Fama-French factors.
How to navigate the equity ‘factor zoo’
The number of equity factors reported in the academic literature has exploded.
Exclusions may simply be transferring a problem
Do exclusions work?
Media spotlight versus the Volatility effect in equities
Investors’ appetite for stocks frequently mentioned in the news is often raised to explain the Volatility effect.
Passive investing and sustainability are incompatible
Passive investing and sustainability integration are fundamentally irreconcilable investment philosophies, say David Blitz, PhD, Head of Quantitative Research, and Wilma de Groot, PhD, Head of Core Quant Equities1.
Strategic allocation to premiums in the equity market
Investors typically include equities in their asset allocation to earn the expected equity premium.