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Global Factor Premiums and Cross-Sectional Premiums
A new paper looked at global factor premiums from 1800 to 2016. It was published in the journal of financial economics. You can apply a factor investing in international equity markets you're still selecting stocks. For some investors this could mean that you can reap profits from these gross factor premiums which are probably a feature of markets. But i hardly meet any investor who doubts equity premium which makes me very doubtful by the way.
Pim van Vliet is on a mission to put the low volatility factor on the map. In his role as Head of Conservative Equities and Chief Quantitative Strategist at Robeco, he focuses on leveraging the effect of low-risk investing. Pim has also published a book, High Returns From Low Risk: A Remarkable Stock Market Paradox, where he unpacks some of the key aspects that guide his work and underpin his success. During this conversation, Pim shares his insights on volatility, the changing market, and combining low-risk with other traditional factors. He equips listeners with key considerations for evaluating strategies or products when allocating low-risk and offers his perspective on out-of-sample-testing, distinguishing between global-factor and cross-sectional premiums, and more. Listeners will get Pim’s perspective on the pros and cons of the Sharpe ratio, and we examine risk-adjusted returns on long and short legs before hearing his Fama-French Five Factor Model analysis. We touch on inflation and gold, and finally, Pim shares his inspiring perspective on success in his financial and personal life. Tune in today to hear more!
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Book From Today’s Episode:
High Returns From Low Risk: A Remarkable Stock Market Paradox — https://amzn.to/3rMkJxQ
Links From Today’s Episode:
Rational Reminder on iTunes — https://itunes.apple.com/ca/podcast/the-rational-reminder-podcast/id1426530582. Rational Reminder Website — https://rationalreminder.ca/
Shop Merch — https://shop.rationalreminder.ca/
Join the Community — https://community.rationalreminder.ca/
Follow us on Twitter — https://twitter.com/RationalRemind
Follow us on Instagram — @rationalreminder
Benjamin on Twitter — https://twitter.com/benjaminwfelix
Cameron on Twitter — https://twitter.com/CameronPassmore
Pim van Vliet on Twitter — https://twitter.com/paradoxinvestor
Pim van Vliet — http://www.paradoxinvesting.com
'The Volatility Effect' — https://www.robeco.com/files/docm/docu-the-volatility-effect-2007.pdf
'The Volatility Effect Revisited' — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3442749
'Ten Things You Should Know About Low-Volatility Investing' — https://www.robeco.com/en-int/insights/2017/07/ten-things-you-should-know-about-minimum-volatility-investing
'The Conservative Formula: Quantitative Investing Made Easy' — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3145152
'Media attention and the volatility effect' — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3403466
'When Equity Factors Drop Their Shorts' — https://www.robeco.com/en-int/insights/2021/02/when-equity-factors-drop-their-shorts
'The Cross-Section of Stock Returns before CRSP' — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3969743
'Global factor premiums' — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3325720
'Investing in Deflation, Inflation, and Stagflation Regimes' — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4153468
'Five Concerns with the Five-Factor Model' — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2862317
'The golden rule of investing' — https://www.robeco.com/en-int/insights/2023/04/the-golden-rule-of-investing
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