Fundamental Factors: Around the world in four factors

 Factor investing is often referred to under broad, blanket terms like ‘value investing’ or ‘investing in a value or a low-volatility fund’. There are many details behind these terms, such as the geographical choice for creating factor portfolios. In this piece we investigate how factors behave in different regions globally. We want to understand if investing in concepts like ‘value’, ‘quality’, ‘low volatility’ and ‘sentiment’ are comparable in different regions in terms of expected returns, and in terms of correlations with one another.

We find that different geographies of the same factor are broadly aligned with one another, but there are some differences that warrant attention. We use these differences to highlight nuances in factor investing that necessitate an active management mind-set when considering a factor strategy...

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Download Fundamental Factors part 1: An introduction 

Download Fundamental Factors part 3: Machine learning in factor investing