Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs
研究了数百个股票因子中哪些在实施后可能为投资者带来利润，发现规模和品质因子稳健性弱，而价值、动量、非流动性和低贝塔因子更稳健，且流动性需求高的因子交易成本更高。
The multifactor investing framework has become very popular in the indexing community. Both academic and practitioner researchers have documented hundreds of equity factors. But which of these factors are likely to profit investors once implemented? We find that many of the documented factors lack robustness. Size and quality, two of the more prominent factors, show weak robustness, whereas value, momentum, illiquidity, and low beta are more robust. Further examining implementation characteristics, we find that liquidity-demanding factors, such as illiquidity and momentum, are associated with significantly higher trading costs than are other factors. Investors may be better off accessing these factors through active management rather than indexation. Editor’s note: This article was reviewed and accepted by Executive Editor Stephen J. Brown.