Factor Investing

The size factor’s risk premium is among the most well-documented, and investing in small-cap companies has yielded consistent results over recent years.

A recent report by Research Affiliates1 states that while momentum is one of the most compelling risk premia factors, there is a significant performance gap between theoretical and live results, with the latter proving considerably weaker.

Volatility returned to markets in February, whiplashing investors accustomed to a long stretch of solid and stable returns, and causing the worst monthly performance in two years for global equities.

Last year, net inflows into so-called smart beta exchange-traded funds (ETFs) and products (ETPs) worldwide rose 33.2% from $54 billion in 2016 to $72 billion, according to ETFGI.