Sentences with phrase «factor portfolios outperforming»

Not exact matches

In the first nine months of 2017, the quality portfolio outperformed the other factor portfolios in absolute terms (see Exhibit 1).

Creating a portfolio with the right factors can therefore systematically outperform the market.

In the first nine months of 2017, the quality portfolio outperformed the other factor portfolios in absolute Read more -LSB-...]

We found that this multi-factor portfolio outperformed the S&P 500 from July 1963 to December 2015 (the longest period for which data is available for all four factors, and the returns include dividends).

James O'Shaughnessy focused on different factors, such as price - to - sales, and proved in his tests that these value factors help create portfolios that outperform the US market on a consistent basis.

All two - factor strategies we tested substantially outperformed the market with even the worst performing strategy returning 114.4 % over 12 years compared with the 30.54 % of the market portfolio.

Overall, what we found was that all the two - factors we tested, even the worst performing quintiles, substantially outperformed the market portfolio.

The researchers find find that the equal - weighted portfolio with monthly rebalancing outperforms the value - and price - weighted portfolios in terms of total mean return, four factor alpha, Sharpe ratio, and certainty - equivalent return, even though the equal - weighted portfolio has greater portfolio risk.

The lower expense ratios of the institutional shares (among other factors) allows your portfolio to outperform VTSMX.