Alice's Adventures in Factorland: Three Blunders That Plague Factor Investing

摘要

In Alice's Adventures in Factorland: Three Blunders That Plague Factor Investing, from the April 2019 issue of The Journal of Portfolio Management, Rob Arnott of Research Affiliates, Campbell R. Harvey of the Fuqua School of Business at Duke University, Vitali Kalesnik of Research Affiliates Global Advisors (Europe), Limited, and Juhani Linnainmaa of the USC Marshall School of Business discuss three common mistakes in factor investing: unrealistically high expectations of factor-based returns, drawdowns that far exceed expectations, and less benefit from diversification than most observers might expect. The authors explore each of these problems and discuss how investors can address them in factor-based portfolios.