Tag Archives: quality

Is There Merit in Blending Factors in Smart Beta Strategies?

Despite the fact that many single-factor strategies have empirically delivered positive excess returns in the long run, they have suffered periods of substantial underperformance under certain market conditions due to their cyclicality.  Blending a number of desired factors with low correlations is a potential way to attain more balanced and diversified portfolios.  The obvious questions Read more […]

A Tale of Two Benchmarks: Factors

This is the third in a series of blog posts relating to the in depth analysis of performance differential between the S&P SmallCap 600 and the Russell 2000. As we noted in the previous post, the reconstitution effect seen in the Russell 2000 doesn’t fully explain the differences in returns between the S&P SmallCap 600 and Russell Read more […]

Quality: A Distinct Equity Factor?

Size, momentum, volatility and value have all been shown to be partly responsible for explaining equity returns over the long run but they do not seem to fully capture the returns of some companies. This has therefore given credence to the idea that a fifth factor – quality – exists and, when combined with other Read more […]