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- W1704965170 abstract "Factor investing has emerged as the new paradigm for long-term investment. Applied to equities, factor investing is probably the most serious contender to the classical industry-based approach to asset allocation. By organizing a multi-trial contest opposing factor investing and sector investing, we address two questions: 1) Are the excess returns of factor investing offset by higher risks, and if so, are factor-specific risks eliminable by means of factor diversification? 2) How does factor investing perform during crisis times? Our results suggest that this form of investing is the best strategy when short sales are permitted. It also outperforms industry-based allocation during expansion and bull periods. In contrast, sector investing offers defensive opportunities to asset managers since it delivers better risk-return trade-offs for long-only portfolios during recessions and bear periods. Overall, factor investing keeps its promises, but it still has a long way to go before it can oust sector investing." @default.
- W1704965170 created "2016-06-24" @default.
- W1704965170 creator A5060318337 @default.
- W1704965170 creator A5071813339 @default.
- W1704965170 date "2015-01-01" @default.
- W1704965170 modified "2023-10-03" @default.
- W1704965170 title "Factor-Based v. Industry-Based Asset Allocation: The Contest" @default.
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- W1704965170 doi "https://doi.org/10.2139/ssrn.2615703" @default.
- W1704965170 hasPublicationYear "2015" @default.
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