Blow to factor investing?

OMG, have i got this right, has the pope of factor investing himself, Ben Felix, just delivered a considerable blow to factor premia expectations? Has he maybe got a queasy feeling about all the small cap value groupies he created :grin:? Quote Ben: “Is factor investing worth it? - I don’t know”.

Here’s the link to the Rational Reminder podcast, also available on spotify:


It would not be the first time that a new strategy that beats the market appears, and once the market participants have digested it, it becomes ineffective.

I tilted a bit my allocation to small cap and to value, but with no excess, because I understand factor investing only beats the market over long periods, and the market could have well absorbed factor investing long before that period.

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100% agree on this. I’ve done quite some reading on factors, but in the end I always come back to my mantra: I know that I don’t know anything, so I’m not going to tilt toward anything and let the market decide.

I’ve come to the conclusion that factor investing is kind of stock picking at an index level - index picking so to say.

Nevertheless, I believe factor research (the research of market anomalies) is incredibly important to further increase market efficiency. I also salute factor investors for their contribution to making the market more efficient, because in the end, their effort will serve me as a market cap investor.