Buying investments with certain attributes may help improve long-term returns, new research explores which work best over time and different assets.
Traders work on the floor of the New York Stock Exchange in New York, U.S., on Monday, Aug.Factor research is getting better. Initial studies might have looked at a couple of decades of data for a single asset class and country, typically just U.S. stocks. Now researchers are looking more broadly. Recently researchers have looked at 200 years of factor data across asset classes in a paper published earlier this year.
Also, perhaps understandably, given that most of the original research on factors focused on equities, these factors tend to work abnormally well for stocks. The weaker areas tends to be currencies where factors appear a bit less robust. Also betting against beta performs well, but perhaps is less impressive than most other factors.200 years is a long time, and can yield robust research but factors are still criticised that their out of sample performance can be weaker.
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