factor investing

“So if value has been working very, very well, the demand for interest in buying into, and the supply, i.e. The interest in selling people on, value factor investment will rise to a crescendo at the top, and then people get disappointed.”

“I believe that the guys who have for years specialized in factor investing are going to find they can't make as good a profit from doing it as they used to because of the crowd, but they'll still probably do a pretty good job for themselves and for their inves…”

“Those who are in it because it's a good commercial opportunity, Intermediaries or in it because they think, Hey, this is a new way to beat the market are going to create a self disappointing experience.”

“That says that the source of the excess return is not knowing about the thing. It's doing the thing.”

“So I would argue all the factors that we use here have a behavioral component, or at least a compelling behavioral explanation for why they work.”

“And what we found generally was that a lot of times the factors would swamp the good work that they were doing on the individual positions in the portfolio. So all this great analysis and research Being put into individual decisions, but macroeconomic effects …”

“Like, I think factor investing is a great way to invest. However, there are environmental conditions that can really shift, and if you're not doing the qualitative analysis, the fundamental analysis, then I don't think it'll work.”

“If you let it look at every possible factor, it's going to be a giant insane data mining exercise. I believe it'll have zero out of sample power.”