So what is the Cone Chart telling us about Value and Momentum?

• Do not give up on them yet!

• Use a longer history to set expectations

Today’s quantitative investors seem split between innovation on the one hand and engineering on the other. This blog is about how we got here.

In last week’s post, I made a strong assertion that has caused some great feedback and comments. When I first heard Mark Kritzman make a similar point at a UBS conference a few years ago, I had a similar reaction: “Hey, I’m a quant and I love my factors. They are definitely real!”.

The question I get asked the most during the past twelve months is “Why are factors not working?” Here are my top 12 personal thoughts on the topic—informed by 15+ years of successfully “factor investing”.  

Here are my 8-thoughts and 1 solution idea about Campbell Harvey and Yan Liu recently released paper on their influential concept of the factor zoo.

There is a growing trend of academic papers that study large sets of factor anomalies at a time. Here are my top 10.

1. Quantitative Portfolio Management by Edward Qian, Ronald Hua, Eric Sorensen

2. Expected Returns by Antti Ilmanen

3. Quantitative Value by Wesley Gray and Tobias Carlisle