Predicted Factor/Smart Beta Alphas
October 16, 2017 - Momentum Investing, Size Effect, Value Premium, Volatility Effects
Which equity factors have high and low expected returns? In their February 2017 paper entitled “Forecasting Factor and Smart Beta Returns (Hint: History Is Worse than Useless)”, Robert Arnott, Noah Beck and Vitali Kalesnik evaluate attractiveness of eight widely used stock factors. They measure alpha for each factor conventionally via a portfolio that is long (short)… Keep Reading