Factor Investing
This post is for a project related to my day job. There are many so called factors which are different takes on broad based index investing. Market cap weighted is the most common factor even if many wouldn't consider it a factor. The rest are tweaks of varying magnitude that could help with outperformance or managing volatility or perhaps lowering correlation.
I do not think that perpetual outperformance is realistic but I do think there is a way to construct a portfolio that is less volatile but that delivers a long term result very close to market cap weighting. There could be a way to barbell volatility where a disproportionate amount of the volatility and return comes from a smaller slice of the portfolio.
I've written a lot about doing this by blending equities with non-equity beta strategies so where this one differs that I am trying to find a way to achieve that result with differing kinds of equity beta. This list will get update periodically. If you have any ideas, I'd love to hear them.
The actual list here is most, not all, of the categories in the market place and a few sample ETFs in each category although some categories, there's just one fund that I know of.
1. Market Cap Weighted
SPY, IVV, VTI
2. Dividends
VYM, SCHD, SDY
3. Momentum
MTUM, PDP, VFMO
4. Quality
QUAL, SPHQ, JQUA, FCTS
5. Low Volatility
USMV, SPLV, LGLV
6. High Volatility
SPHB
7. Covered Call
XYLD, FTHI, PBP
8. Other Option Overlay
OVL, SPYI, SPYC, SPD
9. Buybacks
PKW
10. Strategic
ZSPY, HEQT, SWAN
11. Equal Weight
RSP
12. Multi-Asset
SPBC, Soon to be launched Return Stack Equities + Managed Futures
13. Long/Short
CSM, ZIG
14. Revenue
RWL
15. Earnings
EPS
16. ESG
ESGU, DSI, SUSL
17. Night Effect
NSPY, NSPL
18. Rotation between equities and defense
ALTL, LGH, PTLC
19. Multi-Factor
PRF, QMOM, LRGF, QVML
No comments.