Comparing Long-term Returns of U.S. Equity Factors
June 9, 2023 - Calendar Effects, Equity Premium, Momentum Investing, Size Effect, Value Premium, Volatility Effects
What characteristics of U.S. equity factor return series are most relevant to respective factor performance? In his May 2023 paper entitled “The Cross-Section of Factor Returns” David Blitz explores long-term average returns and market alphas, 60-month market betas and factor performance cyclicality for U.S. equity factors. He also assesses potentials of three factor rotation strategies:… Keep Reading