* Published research showing the historical outperformance of these factors includes:
– Value: J. Lakonishok, A. Shleifer, R. Vishny, “Contrarian Investment, Extrapolation, and Risk.” Journal of Finance, 1994.
– Momentum: N. Jegadeesh and S. Titman, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance, 1993.
– Quality: R. Sloan, “Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings.” Accounting Review, 1996.
– Low volatility: R. Clarke, H. Silva and S. Thorley, ”Minimum-Variance Portfolios in the U. S. Equity Market,” Journal of Portfolio Management, 2006.