202009
Friday
202009
Friday
Hoffstein, Faber and Braun construct long-only indices that provide exposures to popular U.S. equity factors (value, size, momentum, quality, and low volatility) and vary their rebalance schedules to isolate the effects of “rebalance timing luck.” Their results suggest substantial problems for analyzing any investment when the strategy, its peer group, or its benchmark is susceptible to performance impacts driven by the choice of rebalance schedule. Read more |
JUGEMテーマ:資産運用
202009
Friday
Exploring Factor Investing Across Asset Classes |
JUGEMテーマ:資産運用