We focus on factors because of the reason behind why they work, not the performance. In any given year, one factor can do well or poorly, creating “noise” in the long-term process. This is why we blend factors together to build proprietary multi-factor themes.1 Singling out a factor for good/bad performance is not what we do — instead, we look for conceptual ideas that exhibit long-term efficacy.
Using the All Stocks Universe2 as a guide, this inaugural edition of the Factor Alpha Newsletter (FAN) offers a live-time snapshot of the past 12 months. Continue reading “2016 Factor Alpha Newsletter”