Factor Investing Revisited

Journal of Index Investing, Forthcoming

22 Pages Posted: 3 Jul 2015

See all articles by David Blitz

David Blitz

Robeco Quantitative Investments

Date Written: July 3, 2015


This paper takes another look at the recommendation of Blitz [2012] to allocate strategically to the value, momentum and low-volatility factor premiums in the equity market. Five years of fresh data shows that such a factor investing strategy continued to deliver out-of-sample. The potential added value of the two new factors in the Fama-French 5-factor model, operating profitability and investment, is investigated and found to depend critically on the performance metric that is considered most important. The paper also reviews the role of small-cap stocks, factor timing, long-only versus long-short portfolio construction, international evidence and factor investing beyond equities.

Keywords: factor investing, smart beta, value, momentum, low volatility

JEL Classification: G11, G12, G14

Suggested Citation

Blitz, David, Factor Investing Revisited (July 3, 2015). Journal of Index Investing, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2626336

David Blitz (Contact Author)

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3014 DA

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