Coldplay schreef op 26 november 2015 11:30:
Factor Investing - overview
ValueThe Value factor captures the positive link between stocks that have low prices relative to their fundamental value and returns in excess of the capitalization-weighted benchmark. A value strategy consists of buying stocks that have low prices normalized by some indicator of company fundamentals (such as book value, sales, earnings, or dividends, etc.) and selling stocks that have high prices (also normalized).
Low SizeThe Size factor captures the excess returns of smaller firms (by market capitalization) relative to their larger counterparts.
MomentumThe Momentum factor reflects future excess returns to stocks with stronger past performance. In other words, stock prices tend to exhibit trend over certain horizons; winners continue to win and losers continue to lose.
Low VolatilityThe Low Volatility factor captures excess returns to stocks with lower than average volatility or beta. The empirical evidence for this factor is a puzzle since it is clearly at odds with one of the most basic principles in finance, that higher volatility is associated with higher returns.
QualityThe Quality factor aims to capture the excess return of “high quality” companies vs. the market. This has been a widely adopted concept in fundamental analysis (stock selection) but a relatively new phenomenon in quantitative investments. The main challenge is how to define the “quality” factor consistently and objectively using quantitative indicators. The quality of companies is a highly subjective matter. Though there is no standard definition, it is commonly associated with a company’s competitiveness, efficiency, transparency, growth, financial and operating leverage, profit sustainability, and return-on-equity (ROE).
YieldThe Yield factor aims to capture the outperformance of high dividend yield stocks. Dividend yield is commonly used as a valuation tool and closely related to price-to-book and price-to-earnings ratios. Therefore, assuming the payout ratio is uniformly distributed.
Source : Foundations of Factor Investing, MSCI