Investing in Systematic Factor Premiums

Kees G. Koedijk, Alfred M.H. Slager and Philip Stork

European Financial Management, 2016, vol. 22, issue 2, 193-234

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.

Date: 2016
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https://doi.org/10.1111/eufm.12081

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Working Paper: Investing in Systematic Factor Premiums (2015)
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