– a quantitaive, apporach
– harvesting/ investing in theoretically sound, time-tested, econometric-based sources of risk-return
Small Size
Liquidity
– related to small size
Quality
– goes against financial theory
- popular because fo Warren Buffett
Value
- defined typically as a low price relative to either book value or to some variation on earnings
- well-studied and well-established academically, but has underperformed recently
- not robust; goes through long periods of droughts
Growth
Momentum
– doesn’t seem inherently more risky
– simple strategy that is well known yet continues to work and is present across various asset classes
Volatilty
- – research has shown low beta (“betting against beta”) to outperform
- other research have found that high volatility stocks outperform, although it may not compensate for the increased risk; aligns better with academic theory
Carry