Factor Investing: Part 1

Key Takeaways:

  • Our Factor Investing Model will be based on 5 common factors (value, quality, low volatility, momentum and size). During 3Q 2021, momentum did well while the other factors were flat to down. Over the past year, the size premium (small-cap stocks over large-cap stocks) led the way.
  • In this report we will be covering the first 2 factors, value and quality. The value factor focuses on typical valuation ratios such as Price-to-Book (P/B), Price-to-Sales (P/S) and Price-to-Earnings (P/E). Quality, which always will be somewhat subjective, is determined using metrics like Return-on-Equity (ROE) and Return-on-Investment (ROI).
  • Value and quality are the first two factors we will introduce in a three-part series. The next article will focus on low-volatility, momentum and size. The final piece will explain how we construct a portfolio using these factors.
  • Static factor portfolios have struggled over the past 18 months, and have not contributed consistent positive return since about 2013.
  • A simple factor timing overlay, however, has performed better, particularly during the recent downturns in the value and low-volatility factors.

Introduction

This will be the first in a series of regular research notes commenting on the performance and general landscape for factor investors. Qua...
A FSI Macro, or FSI Pro subscription is required in order to access this content.

We accept crypto via BitPay for yearly subscriptions.

Choose one of our yearly plans to save nearly 15%

    • Macro + Crypto
      FSI Pro
      The Complete Package
      FSI Macro + FSI Crypto
      from
      $
      249
      /mo
      billed anually
      First Month Free!
    • Macro
      FSI Macro
      from
      $
      199
      /mo
      billed anually
      First Month Free!
      What's included?
      Real-time market commentary about macro and crypto events from our research heads.
      Webinars and Media
      Daily video commentary on market conditions & key events.
      We host over 12 LIVE webinars per year with our research team and high-profile special guests. Incredible value and market insights!
      Research
      Weekdays
      The best market research out there -- on a near-daily basis.
      On market events
      These are released periodically after crucial market developments.
      Daily
      Daily commentary on market trends and short term opportunities.
      Weekly
      Weekly update on developments in Washington DC and how they may impact Wall Street.
      Weekly
      Weekly summary of market events and updates on our key theses.
      Earnings season
      A multi-faceted update of earnings developments.
      Updated bi-weekly
      Highlights timely market themes and sectors with corresponding stocks, cutting through the day-to-day market “noise” for a distinct perspective.
      Stock Lists
      Updated monthly
      Technically derived, intermediate-term picks of attractive risk/reward opportunities from the S&P 500.
      And More!
      Our main goal is to make you a better investor! This series will guide you through key financial concepts and topics in an understandable way.
      We gather your inquiries and answer them in the most scalable way. Hear directly from our research principals!
      Get questions answered directly by our research heads and guest speakers.
      Get access to all the macro research on FS Insight
      First Month Free!
    • Crypto
      FSI Crypto
      from
      $
      99
      /mo
      billed anually
      First Month Free!
      What's included?
      Real-time market commentary about macro and crypto events from our research heads.
      Webinars and Media
      Ongoing webinars exploring crypto opportunities, in depth research, and exclusive research offerings from our team of analysts and leading cryptocurrency firms.
      Weekly
      Digestible videos expanding on important market events and metrics that are shaping cryptocurrency markets.
      Research
      Daily
      Stay on top of the crypto markets with macro commentary, technical analysis, and the most relevant news.
      Intra month
      Hear directly from Tom Lee about important cryptocurrency developments.
      Weekly
      From Bitcoin, Ethereum and Solana to other coins, our Head of Technical Strategy highlights important price movement to help give you an edge.
      Weekly
      A must-read summarizing our key thoughts about the crypto market, price action, and developing trends.
      Weekly
      Are you looking for investment opportunities in the crypto space? We explore early-stage crypto opportunities in this note about where the smart money is being invested!
      Intra-month
      Our consulting business delivers incredible deep research reports to highlight the economics and viability of exciting crypto projects.
      And More!
      Our main goal is to make you a better investor! This series will guide you through key financial concepts and topics in an understandable way.
      We gather your inquiries and answer them in the most scalable way. Hear directly from our research principals!
      Get questions answered directly by our research heads and guest speakers.
      Get access to all the crypto research on FS Insight
      First Month Free!
Disclosures (show)

Sign in to read the report!

We have detected you are an active member!

Ray: cbcac2-34fe62-704b59-ecce7e-5efe44

Want to receive Regular Market Updates to your Inbox?

I am your default error :)

Events

Trending tickers in our research