What do you think about factor investing? How would a Swiss investor get exposure to different factors?
Great in theory, but still haven’t found any good implementations.
It’s easy, because there are plenty of factor ETFs.
and probably just as many US-Listed.
Should you do it? Only if you think you can accurately time outperformance of a given factor, which you probably can’t.
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As far as I understand, the outperformance of a factor is explained by a higher variance in performance. But the outperformance is consistent over a long enough time and different regions.
Found this article here:
That tries to replicate some of Dimensionals factor ETFs.
It also has the average annual factor premiums between 1927-2012 listed:
- Market is 8.4%
- Size is 3.58%
- Value is 4.81%
- Momentum is 8.45%
It seems that it is at least possible to capture the market, size and value premium with such a strategy. Be aware that exposure to a factor will reduce the exposure to the other factors.
Just listened to an interesting podcast on a “new factor” - human capital. 
I like what Ariely had to say, very interesting from the behavioral psychology point of view.
And here is the report by his company Irrational Capital and JP Morgan, if you are interested: