Investing in systematic factor premiums

C.G. Koedijk, A.M.H. Slager, P.A. Stork

Research output: Contribution to JournalArticleAcademicpeer-review

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.
Original languageEnglish
Pages (from-to)193-234
JournalEuropean Financial Management
Volume22
Issue number2
DOIs
Publication statusPublished - 2016

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Investing
Factors
Premium
Assets
Liability
Specific factors
Investors
Market index
Diversification
Equity

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Koedijk, C.G. ; Slager, A.M.H. ; Stork, P.A. / Investing in systematic factor premiums. In: European Financial Management. 2016 ; Vol. 22, No. 2. pp. 193-234.
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Investing in systematic factor premiums. / Koedijk, C.G.; Slager, A.M.H.; Stork, P.A.

In: European Financial Management, Vol. 22, No. 2, 2016, p. 193-234.

Research output: Contribution to JournalArticleAcademicpeer-review

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