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What are the 5 factors?…. “Foundations of Factor Investing(https://www.investopedia.com/terms/f/factor-investing.asp) Value Value aims to capture excess returns from stocks that have low prices relative to their fundamental value. This is commonly tracked by price to book, price to earnings, dividends, and free cash flow.
Size Historically, portfolios consisting of small-cap stocks exhibit greater returns than portfolios with just large-cap stocks. Investors can capture size by looking at the market capitalization of a stock.
Momentum Stocks that have outperformed in the past tend to exhibit strong returns going forward. A momentum strategy is grounded in relative returns from three months to a one-year time frame.
Quality Quality is defined by low debt, stable earnings, consistent asset growth, and strong corporate governance. Investors can identify quality stocks by using common financial metrics like a return to equity, debt to equity and earnings variability.
Volatility Empirical research suggests that stocks with low volatility earn greater risk-adjusted returns than highly volatile assets. Measuring standard deviation from a one- to three-year time frame is a common method of capturing beta.
Certainly, there isn’t one ETF that would do all this. I assume you would need a number of funds and be prepared to rebalance & never lose faith (!).
Bee! You could look at commodity funds, such as PCRIX, however, as WABAC says - don’t bother. And that’s what Swedroe said.
This is an interesting fund that rotates between factors based on expected future returns but never has more than 35% allocated to any single factor. Read the pospectus carefully before investing. DYNF BlackRock U.S. Equity Factor Rotation ETF ACTIVE
Comments
Backwardation
https://investopedia.com/terms/b/backwardation.asp
Contango
https://investopedia.com/terms/c/contango.asp
Can I find a fund manager who does this for me?
I was more interested in his barbell argument about bonds.
How does one invest in the 5 factors?
https://www.ishares.com/us/strategies/smart-beta-investing
What are the 5 factors?….
“Foundations of Factor Investing(https://www.investopedia.com/terms/f/factor-investing.asp)
Value
Value aims to capture excess returns from stocks that have low prices relative to their fundamental value. This is commonly tracked by price to book, price to earnings, dividends, and free cash flow.
Size
Historically, portfolios consisting of small-cap stocks exhibit greater returns than portfolios with just large-cap stocks. Investors can capture size by looking at the market capitalization of a stock.
Momentum
Stocks that have outperformed in the past tend to exhibit strong returns going forward. A momentum strategy is grounded in relative returns from three months to a one-year time frame.
Quality
Quality is defined by low debt, stable earnings, consistent asset growth, and strong corporate governance. Investors can identify quality stocks by using common financial metrics like a return to equity, debt to equity and earnings variability.
Volatility
Empirical research suggests that stocks with low volatility earn greater risk-adjusted returns than highly volatile assets. Measuring standard deviation from a one- to three-year time frame is a common method of capturing beta.
Certainly, there isn’t one ETF that would do all this. I assume you would need a number of funds and be prepared to rebalance & never lose faith (!).
Bee! You could look at commodity funds, such as PCRIX, however, as WABAC says - don’t bother. And that’s what Swedroe said.
This is an interesting fund that rotates between factors based on expected future returns but never has more than 35% allocated to any single factor. Read the pospectus carefully before investing.
DYNF
BlackRock U.S. Equity Factor Rotation ETF ACTIVE