Well saidThe bottom line is one question:This acknowledged factor theory expert now offers an explanation for why factor investing hasn't worked to increase risk adjusted returns for 20 years and has massively underperformed one factor beta (TSM) for the last 18 years. SCV has failed and multi-factor have failed to beat beta for a long time. Fama previously admitted that he was "surprised" by the unexpectedly long persistence of LCG outperformance. Apparently, Cliff has also been surprised and he offers an explanation for this phenomenon
Should you factor tilt starting today (or maintain your factor tilt going forward)?
Nothing else really matters in this discussion.
Nobody knows for sure. My guess is yes. But I'm not betting the farm. 1/3 of my equity is tilted. Good luck with whatever you choose over your time horizon.
Statistics: Posted by betablocker — Mon Sep 09, 2024 5:48 pm — Replies 8 — Views 427
