There are many factor strategies—value-growth investing, momentum, and short volatility strategies, to name but a few—that beat the market. To determine which factors that we should choose, factor investing asks: how well can a particular investor weather hard times relative to the average investor? Answering this question helps an investor reap long-run factor premiums by embracing risks that lose money during bad times but make up for it the rest of the time with attractive rewards. When factor investing can be done cheaply, it raises the bar for active management.
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