What is Reddit's opinion of Asset Management: A Systematic Approach to Factor Investing (Financial Management Association Survey and Synthesis Series)?

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I'm talking about the concept of factor investing in general, which is what AQR focuses on. The idea is that asset class and factor portfolio correlations are different. Of course, the correlation are going to fairly large if you look at a long only implementation of equity momentum versus an equity benchmark, lol.

Again, you need to stop looking at these in isolation. They aren't meant to replace your core equity index exposure. For more background look at Andrew Ang's excellent book on factor investing (https://www.amazon.com/Asset-Management-Systematic-Investing-Association/dp/0199959323).

Nei, það er ekki og aldrei eina ástæðan.

Ársreikningagreining, ytri og innri áhættur markaðarins og rekstrar umhverfisins, volatility gjaldeyrismarkaðarins, væntingar markaðsaðila og framtíðarhorfur, trúverðugleiki fjárfestingarinnar - til að nefna fátt - er dæmi um það sem tekið er tillit til við ákvörðunartöku fagfjárfesta.

Nema þú heitir Ragnar Þór, þá hunsaru þessa þætti og lætur pólitík ráða fjárfestingum

Ef þú vilt kynna þér málið betur hvernig fjárfestingar fara fram, þá hér er hlekkur á eina biblíu.

https://www.amazon.com/Asset-Management-Systematic-Investing-Association/dp/0199959323

Read Asset Management by Andrew Ang. It's taught in grad level courses at the best universities.

So you're saying

>Obviously we can't time the market

which I'd argue isn't obvious and might not be true (Bridgewater and a couple others seem to do okay at it), when the entire post is literally about nothing else than timing the market. Which is fine, I guess...

I do think there exist risk premia that can be harvested systematically -- the problem is that you're being paid to take that risk for a reason.

Check out one or the other (or both) of Asset Management by Andrew Ang and/or Expected Returns by Antti Ilmanen.

And realize that you're not at all the first person to try backtesting something that looked like it worked, and there are enough people who do this for a living that most of the best opportunities are pretty picked-over.

How far back does your backtest go? If you can, try your favorite parameters out of sample. Most people who do this are disappointed by the results, but maybe this is different.