Investing in Systematic Factor Premiums
研究了美国和欧洲股票与债券的因子投资，发现因子组合通常优于市场指数，且结果稳健，对全球投资者长期有利。
Abstract In this paper we investigate and evaluate factor investing in the US and Europe for equities and bonds. We show that factor‐based portfolios generally produce comparable or better portfolios than market indices. We expand the analysis to other asset classes and factors, work with other optimisation methods and add a basic liability structure. The results do not depend on adding other asset classes or on the removal of a specific factor. Finally, we study the results for a worldwide investor who invests beyond the US and Europe. Over the longer term and with consistently applied factor diversification, factor investing appears to be advantageous.