Lite hyffsad färsk forskning (2018) från Fama French om vilka riskfaktorer man kan välja till sin portfölj:
Abstract
Our goal is to develop insights about the maximum squared Sharpe ratio for model factors as a metric for ranking asset pricing models. We consider nested and non-nested models. The nested models are the capital asset pricing model, the three-factor model of Fama and French (1993), the five-factor extension in Fama and French (2015), and a six-factor model that adds a momentum factor. The non-nested models examine three issues about factor choice in the six-factor model: (1) cash profitability versus operating profitability as the variable used to construct profitability factors, (2) long-short spread factors versus excess return factors, and (3) factors that use small or big stocks versus factors that use both.
Conclusions
If the goal is to minimize the max squared Sharpe ratio for the intercepts for all assets, models should be ranked on the max squared Sharpe ratio for model factors, Sh 2(f). Among the six-factor models we consider, the winner on Sh 2(f) combines Mkt and SMB with the small stock spread factors, HMLS, RMWCS, CMAS, and UMDS