Sentences with phrase «factor premiums»

Is there an easy way for investors to capture jointly the most reliable stock return factor premiums?

In the context of the modern investment mandate process, we can easily understand this boom - and - bust cycle for factor premiums.

Long - term historical factor returns are perhaps the most widely accepted way to estimate factor premiums (expected returns), both in the literature and in the practitioner community.

By understanding how your insurance company factors your premium rate, you can lower it.

Is there an easy way for investors to capture jointly the most reliable stock return factor premiums?

Using monthly net returns and assets under management (AUM) for specific (not fund - of - funds) and distinct CTA funds with at least 12 months of returns denominated in U.S. dollars and monthly data required to estimate futures risk factor premiums as available during January 1987 through July 2015, they find that: Keep Reading

Are Factor Premiums Mean Reverting?

Here we have a good look at regression analysis to decipher what is true factor premium and what is, well, randomness.

In the May 2013 version of their paper entitled «Strategic Allocation to Commodity Factor Premiums», David Blitz and Wilma de Groot examine the performance and diversification power of the commodity market portfolio and of alternative commodity momentum, carry and low - risk (low - volatility) portfolios.

Their goal is to determine whether category performance is amenable to modeling (cloning) via liquid exposures to four futures risk factor premiums:

Frank Chism: Well, the effect of that is, a lot of the factor premiums that are out there to be harnessed come from the small part of the market, for the first thing.

Indeed, little data or research supports one «best» way to construct an exposure (e.g., value or low volatility) that maximizes the factor premium capture.

Investors wanting to access these factors — size, value, volatility, momentum, etc. — are presented with a number of investment alternatives that aim to harvest the factor premium in different ways, and deciding which to utilize can be difficult.

Therefore, we care more about the risk - adjusted return of the factor rather than simply the factor premium.

The size premium is arguably one of the weakest of the factor premiums, especially in recent history.

As such, the front runners will enjoy the factor premium — in this case, the momentum premium — and the index investors will provide this premium to them.

Notably, the market and value factor premiums earned by mutual funds since 1990 are about half the indicated theoretical return, and shockingly, the momentum factor premium essentially disappears.