NotePD Loader
Ideas Post

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

0 Like.0 Comment
Comment
Branch
Repost
Like
Comment
Branch
Like
0
16326
0
0
Comments (0)

No comments.