Investable Factor Strategies Through Funds and ETFs
Summary
The discussion asks whether investors can access systematic risk premia through funds, indices, or exchange-traded products. It names carry, curve or term premium, size, value, momentum and trend, liquidity, and volatility as areas of interest, and notes that factor products may offer a lower-cost route to targeted exposures. It also raises the counterpoint that some comparable factor vehicles have been discontinued.
The answer points to examples spanning momentum, mean reversion, micro-cap exposure, and high beta. These examples illustrate that investable products can package different factor-like approaches, but the response is only a small sample and does not evaluate their construction, costs, performance, or availability over time. The discussion therefore serves as a starting point for identifying product categories rather than evidence that any particular factor premium is reliably captured or that a listed vehicle remains available.
Key ideas
- Funds and ETFs can package exposures associated with systematic factors.
- The factors raised include carry, term premium, size, value, momentum, liquidity, and volatility.
- Examples cited cover momentum, mean reversion, micro-cap, and high-beta strategies.
- Product availability can change, and the cited examples do not establish performance or current status.
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Full text
# Examples of investable factors via factor funds/ETFs # Examples of investable factors via factor funds/ETFs In the draft chapter about hedge funds of his forthcoming book Andrew Ang postulates the dawn of new factor funds (p. 35 ff.), i.e. funds that directly target factors like volatility, value-growth, size, momentum etc. and give investors direct access to factor risk premiums much more cheaply. On the other hand the Wall Street Journal reports that Russell Investments just closed down comparable investment vehicles (factor ETFs). My question Do you know of any investable factor indices/ETFs/funds and/or any current activities that go into that direction and will be launched in the foreseeable future? These don't need to be restricted to the US, I am also interested in activities around the world. EDIT I am especially talking about the following risk premia (mainly, but not exclusively in equities, fixed income, derivatives): - Carry - "Curve" or "term premium" - Size - Value - Momentum and trend - Liquidity - Volatility For a good overview see: Systematic Risk Premia Across Asset Classes ## Answer by Matt Wolf (score 3, accepted) https://quant.stackexchange.com/a/7564 Here couple ETFs that may satisfy what you are looking for: - http://www.quant-shares.com/etf-list/ - http://www.etc.db.com/GBR/ENG/Institutional/Downloads/ISIN/Factsheets/GB00B4N0QN94 - http://guggenheiminvestments.com/products/etf/wmcr - http://etfdb.com/type/investment-style/high-beta/ Those include ETFs with a momentum approach, mean-reversion approach, micro cap approach, and high-beta approach. Just a small subset of the many others available, but it should answer your question that yes, there are plenty such ETFs out there.
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