Can Investors Capture Academic Equity Factor Premiums via Mutual Funds?
February 24, 2023 - Fundamental Valuation, Momentum Investing, Mutual/Hedge Funds, Value Premium, Volatility Effects
Do factor investing (smart beta) mutual funds capture for investors the premiums found in academic factor research? In their November 2022 paper entitled “Factor Investing Funds: Replicability of Academic Factors and After-Cost Performance”, Martijn Cremers, Yuekun Liu and Timothy Riley analyze the performance of funds seeking to capture of published (long-side) factor premiums. They group… Keep Reading