Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Cost

By Jason Hsu, Vitali Kalesnik, and  Noah Beck

Not every factor profits investors when implemented through a passive strategy. Size and quality show weak robustness, and liquidity-demanding factors, such as illiquidity and momentum, are associated with high trading costs. Investors may be better off accessing these factors through active management rather than indexation.

To read the entire piece on the CFA Institute website, click here.