The holy grail of factor timing is a poisoned chalice

Simon Lansdorp  |  Robeco  |  01 October 2020  |  0.50 CE

The discovery of commonly recognised asset pricing anomalies such as value, momentum, low volatility and quality led to the establishment of the evidence-based approach that we know today as factor investing. Factor investing has led to Nobel prize laureates, trillions of invested dollars from sovereign wealth funds and retail investors – and, more recently, quite disappointing returns. Although heavily sought after, academics and practitioners are yet to find a way to effectively time these proven factors. In order to maximise the probability of outperformance in a whole ne...

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