How Can a Strategy Still Work If Everyone Knows About It?

摘要

Some assert that once a strategy is "discovered" it can't work anymore. Others, often implicitly, assume the future will look as wonderful as the past. Perhaps not surprisingly, we stake out a middle ground. We're going to argue that certain well-known classic strategies that have worked over the long term will continue to work going forward, though perhaps not at the same level and with different risks than in the past. We will focus on classic "factor"-type strategies, which include smart beta. Our favorites won't shock anyone. They are things like value, momentum, carry and quality/defensive. Of these, we'll use value investing as a common example throughout this discussion.