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Robeco Researcher On Factor Premiums And ETFs

David Blitz has recently discussed the concern in some quarters that factor premiums may disappear as they are arbitraged away by exchange-traded funds. Blitz, the head of quantitative equity research at Robeco Asset Management, says that such a concern is ... read more

Flawed Research On Factor Investing

A new research paper purports to refute ... The paper in question is Are Exchange-Traded Funds Harvesting Factor Premiums?. It was written by David Blitz, who is with Robeco Asset Management, a Netherlands-based asset manager and producer of quantitative ... read more

From 'smart beta' to 'factor-based,' parsing the active funds name game

In mid-February the firm launched six new factor-based ETFs and one new factor-based mutual ... "Every factor except value is currently trading at a premium to market," said Arnott at Research Affiliates. He argues that momentum investing, the best ... read more

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Lower Risk, Enhance Returns with Multi-Factor Smart-Beta ETFs

Now, index providers and ETF sponsors implement a multi-factor ... associated premium through improved portfolio diversification leads to considerable Sharpe ratio improvements compared to the broad cap-weighted index,” according to the research paper. read more

5 Small-Cap International Funds You Ignore at Your Own Peril

And it turns out that the small firm return premium ... research report. For self-directed investors ready to dive in, here’s a sample of five small-cap international funds. You can go broad or narrow your focus by style, such as growth, value or factor ... read more

Gold Mining Stocks: Huge Upside As Premium Valuations Will Return

The chart of GDXJ shows that gold miners are on the verge of a return to those premium valuations. When I first began to heavily research the gold and silver ... stocks will generate far better returns than ETFs, I do believe that something like the ... read more

Investing in Electric Vehicles Remains Challenging

"Looking at future EV launches, existing premium brands are still preferred over Tesla ... so have the number of low-cost options. Many more exchange-traded funds are investing with environmental, social and governance (ESG) factors in mind and producing ... read more

PIMCO Launches 3 RAFI Dynamic Multi-Factor Equity ETFs

PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF (Ticker: MFEM) “PIMCO is excited to partner with Research Affiliates in offering the PIMCO RAFI Dynamic Multi-Factor Equity ETFs,” said Andrew Pyne, Executive Vice President and strategist ... read more

Swedroe: Don’t Exclude Emerging Markets

While investors know that buying high and selling low isn’t a good strategy, the research shows that individual investors ... with implementation costs having fallen, the risk premium should also have come down. The question is whether the current ... read more

Mixed Vs. Integrated Multifactor ETF Portfolios

Today's article is by Corey Hoffstein, co-founder and chief investment strategist of Boston-based Newfound Research. On the cutting edge of ... Using the first generation of factor ETFs, we employ a “build it yourself” approach in our U.S. Factor ... read more

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