Factor-based investing has achieved great popularity, with hundreds of billions of dollars in assets flowing into funds that offer exposure to factors such as size, value, momentum, quality, low volatility and carry. With the flood of assets into factor-based funds, many have questioned whether factors that have in the past produced premiums will continue to do so. In other words, now that everyone knows about these factors, have they been arbitrated away?
Advisor Perspectives welcomes guest contributions. The views presented here do not necessarily represent those of Advisor Perspectives. The following article originally appeared on ETF.COM here. There is a large body of literature on stock return predictability, with most predictive variables being financial variables such as the earnings yield (E/P), dividend yield (D/P) and the Shiller CAPE 10 ratio.
Among the “smart beta” strategies that recently have become popular are funds that go long securities with favorable characteristics and short those with unfavorable characteristics. For example, to capture the value premium, a fund would go long value stocks and short growth stocks. Similarly, to capture the momentum premium, a fund would go long securities with positive momentum and short those with negative momentum.
How has the "curse of popularity" affected the sustainability of factor premiums? Well, after a brief test, let's just say it seems clear that rumors of the death of factor-based investing are premature. @ETFcomhttp://bit.ly/2Itk9tI
A recent study shows that, contrary to conventional wisdom on the negative tax impact of higher turnover and short-selling, tax-aware, long/short strategies can be highly tax-efficient. @ETFcomhttp://bit.ly/2pbPqcy
Let's explore how academic research, factor analysis and market efficiency help us understand the sources of Warren Buffett’s outperformance (or recent underperformance, as the case may be). On @ETFcom: http://bit.ly/2Gc5faz
A new study highlights why it's so important to understand the shifting nature of stock and bond return correlation, and that it depends on a variety of factors (including demand/supply shocks, monetary policy, inflation and economic regime). @ETFcomhttp://bit.ly/2oWXOMj
Muck Rack makes it simple to find people, tweets, or articles that mention any name, keyword, company, hashtag etc. We've compiled this guide to help you make the most of your search.
Selecting a term
Start searching tweets, articles from media outlets, articles mentioned in tweets, journalists'
names, titles and bios with some suggested searches:
Companies or Topics (e.g. iPhone, Microsoft)
Phrases (e.g. "cloud computing") — use quotes to keep the terms together
Twitter handles (e.g. @username) — returns those who have mentioned or replied to
Names (e.g. "David Pogue")
Hashtags (e.g. #sxsw, #london2012)
Bio details (e.g. vegan, Olympics, father)
Muck Rack's Advanced Search allows for many boolean operators.
Find results that mention multiple specified terms, use AND or
+. For example, ensure each result contains both Elon Musk and Mark Zuckerberg by
searching Musk AND Zuckerberg or Musk + Zuckerberg.
Use the operators OR or , to broaden your search when you'd like either of
multiple terms to appear in results. (This is the default behavior of our search when no operators
are used). For example, results will contain either cake or cookie by searching cake OR cookie or cake,cookie
Use NOT or - to subtract results from your search. For
example, searching Disney will yield results about the Walt Disney Company as well as Walt Disney
World Resort. To exclude mentions of Disney World, search for Disney -World or Disney
When using one of these operators with a phrase, enclose it in quotation marks. For example, you can
find results about smartphones excluding Apple's iPhone 4S by searching smartphone -"iPhone
Exact case matching or punctuation
If you're searching for a brand name or keyword that relies on specific punctuation marks or capitalization, you can
find results that match your exact query by adding matchcase: before the keyword you're searching for, like matchcase:E*TRADE .
Use parentheses to separate multiple
boolean phrases. For example, to find journalists talking about having fun in Disney World or
Disneyland, search for ("disney world" OR disneyland) AND fun.
An asterisk can be used to search for any variation of a root word truncated by the asterisk. For example, searching for admin* will return results for administrator, administration, administer, administered, etc.
A near operator is an AND operator where you can control the distance between the words. You can vary the distance the near operation uses by adding a forward slash and number (between 0-99) such as strawberries NEAR/10 "whipped cream", which means the strawberries must exist within 10 words of "whipped cream".