Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for November 2021 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for November 2021 (Final)
1st ETF 2nd ETF 3rd ETF

Are Equity Multifactor ETFs Working?

September 15, 2021 • Posted in Equity Premium, Momentum Investing, Size Effect, Value Premium, Volatility Effects

Are equity multifactor strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider seven ETFs, all currently available:

We focus on monthly return statistics, along with compound annual growth rates (CAGR) and maximum drawdowns (MaxDD). Using monthly returns for the seven equity multifactor ETFs and benchmarks as available through August 2021, we find that: (more…)

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates
Login
Questions?