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 
? Quote Ben: āIs factor investing worth it? - I donāt knowā.
Hereās the link to the Rational Reminder podcast, also available on spotify:
100% agree on this. Iāve done quite some reading on factors, but in the end I always come back to my mantra: I know that I donāt know anything, so Iām not going to tilt toward anything and let the market decide.
Iāve 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.
This video might be interesting
