The Characteristics of Factor Investing

摘要

In The Characteristics of Factor Investing, from the 2019 Quantitative Special Issue of The Journal of Portfolio Management David Blitz and Milan Vidojevic (both of Robeco Asset Management) argue that generic factor-based investment strategies experience lower returns because they disregard the effects of other factors. For instance, the expected returns of two top-quintile value stocks can potentially be determined by each stock's exposure to momentum or profitability characteristics—which can differ significantly from one stock to another.