Transcription of Facts and Fantasies About Factor Investing - …
{{id}} {{{paragraph}}}
Example: barber
Facts and Fantasies About Factor Investing - …
Facts and Fantasies About Factor InvestingZ elia CazaletQuantitative ResearchLyxor Asset Management, RoncalliQuantitative ResearchLyxor Asset Management, 2014 AbstractThe capital asset pricing model (CAPM) developed by Sharpe (1964) is the startingpoint for the arbitrage pricing theory (APT). It uses a single risk Factor to model therisk premium of an asset class. However, the CAPM has been the subject of impor-tant research, which has highlighted numerous empirical contradictions. Based on theAPT theory proposed by Ross (1976), Fama and French (1992) and Carhart (1997)introduce other common factors models to capture new risk premia. For instance, theyconsequently define equity risk factors , such as market, value, size and momentum. Inrecent years, a new framework based on this literature has emerged to define strategicasset allocation.
Facts and Fantasies About Factor Investing times that there is a long-run reward for being exposed to factor risk. Factor premiums are rewards for investors enduring losses during bad times."
Tags:
Information
Domain:
Source:
Link to this page:
Please notify us if you found a problem with this document: