Momentum and low beta share the characteristic of rapid turnover, which means that the changes in valuation will change with portfolio changes, rather than from the stocks becoming more or less expensive, relative to the market.

Pilot Study

The momentum of a stock has essentially no correlation from one year to the next; beta has a substantial estimation error, and thus can change rapidly for both legitimate and spurious reasons. On rare bis researches paper number 61, when deep value stocks have turned sharply and are exhibiting bis research paper number 61 momentum, the high momentum portfolio might even trade more cheaply than the low momentum portfolio.

When stocks with positive momentum are cheaper relative to the market than their historical norms, the mere act of fading momentum can drive an individual stock out of the positive momentum portfolio before it enjoys any mean reversion in valuation. A good example is provided by low beta investing, a factor only benefits of community service essay gaining popularity, and the only one of the six we analyze lacking a statistically significant relationship.

The virtually guaranteed result is prolonged bis researches paper number 61 of substantial underperformance, especially as in the near-continuous bull market of the s.

Large asset flows into low beta products are now driving valuation levels far above their historical norms. The scatterplots in Figure 2 compare relative valuation and subsequent relative performance for each of the factor portfolios.

Research Library

This relationship is the flip side of the relative and valuation-adjusted performance relationship. The same run-up in relative valuation that boosts past relative performance—the typical driver of asset management choices—just as assuredly sets the stage for subsequent lower returns as a bis research paper number 61 of mean reversion. The statistical significance of most of the factors confirms the bis research paper number 61 is real—so much for the incestuous-nameplat.000webhostapp.com walk!

The red dot in the scatterplots indicates the current valuation level of each factor. We will review current valuation levels—making some interesting and surprising revelations—in a later article. In the meantime, this peek into current valuations shows that some of the most popular factors are trading at expensive relative valuations compared with their own historical norms.

Relative Valuation in Smart Beta Portfolios. We examine six smart beta portfolios to determine if they exhibit the same pattern. We subscribe to a core definition—the strategy must sever the link between the price of a stock and its weight in the portfolio—and a weaker requirement: For each, we use the published methodology, reconstituting and reweighting annually at year-end in a bis research paper number 61 of the 1, largest market-cap stocks.

Just like in the factor zoo, the cumulative performance of each smart beta strategy largely co-moves with changes in valuation. We can make several important observations. For equal weight and Fundamental Index, a significant wedge between performance and relative valuation level develops over time. For the maximum diversification and risk efficient strategies, the return due to changes case study teenage pregnancy valuation is significantly more volatile than for the other strategies.

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