Factor-based investing: the long-term evidence
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Authors
Dimson, E
Marsh, P
Staunton, M
Publication Date
2017-03-31Journal Title
Journal of Portfolio Management
ISSN
0095-4918
Publisher
Pageant media
Volume
43
Issue
5
Pages
15-37
Type
Article
This Version
AM
Metadata
Show full item recordCitation
Dimson, E., Marsh, P., & Staunton, M. (2017). Factor-based investing: the long-term evidence. Journal of Portfolio Management, 43 (5), 15-37. https://doi.org/10.3905/jpm.2017.43.5.015
Abstract
Factor investing is popular, and its adoption is accelerating. One reason it is increasingly being embraced is that portfolio return expectations seem to be evidence based. However, much of the so-called evidence consists of repeated analysis of the very datasets used to derive an investment model in the first place. To mitigate this trap, the authors estimate the risk premiums earned from factor investing over very long periods (up to 117 years) and across many markets (up to 23). They report on the long-term profitability of following strategies based on market capitalization, value versus growth, dividend yield, stock-return momentum, and low-volatility investing.
Embargo Lift Date
2100-01-01
Identifiers
External DOI: https://doi.org/10.3905/jpm.2017.43.5.015
This record's URL: https://www.repository.cam.ac.uk/handle/1810/298730
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