Academic Knowledge Dissemination in the Mutual Fund Industry: Can Mutual Funds Successfully Adopt Factor Investing Strategies?

摘要

Mutual funds tilted toward low-vol, value and small-cap factors outperformed a control group of mutual fund managers who didn't pursue the factor approach, according to this recent evidence-based research. The larger implication is that academic theories can indeed work well in practice, at least for the specific factors identified bv the authors.1.The net effect. Factor investing outperformed, even after taxes and fees.2.Loud and clear. Low-volatility, value and small-cap strategies strongly outperformed in the study.3.Mixed results. The performance of momentum and long-term reversal strategies, compared to the control group, was mixed. Short-term reversal strategies underperformed.Evidence-based practice is a term primarily used in medicine. It means that patients are treated based on evaluations and evidence gleaned from randomized clinical trials. For instance, a doctor will compare the death rate of patients who underwent a treatment in contrast to a controlled group who did not undergo treatment, and make practice decisions according to the results.