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Abstract
Practical Applications
The net effect. Factor investing outperformed, even after taxes and fees.
Loud and clear. Low-volatility, value and small cap strategies strongly outperformed in the study.
Mixed results. The performance of momentum and long-term reversal strategies, compared to the control group, was mixed. Short-term reversal strategies underperformed.
Financial researchers traditionally have taken a theoretical approach. Compared to medical research, there is much less focus on evidence and the effects of an intervention. Dutch-based practitioner-researchers Eduard van Gelderen and Joop Huij are trying to change this, by bringing evidence-based practice to finance. In this report, the authors describe their research method and demonstrate that academic theories can indeed work well in practice, at least for the specific factors tested.
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