Factor covar iances predict factor retur ns
http://f-traditions.ru/factor-covar-iances-predict-factor-retur-ns
We examine low-turnover zero-investment “factor” portfolios constructed from various stock characteristics previously shown to predict returns. The nine different factor portfolios all exhibit negative market betas. Our central result is that a more negative beta across factors predicts higher factor returns over the next two years. Similarly, the average relative volatility of the factor returns, [...]
We examine low-turnover zero-investment “factor” portfolios constructed from various stock characteristics previously shown to predict returns. The nine different factor portfolios all exhibit negative market betas. Our central result is that a more negative beta across factors predicts higher factor returns over the next two years. Similarly, the average relative volatility of the factor returns, [...]