I was thinking about putting together a piece about “Indexing 2.0”. ie What is the best was to build a portfolio that incorporates most of the factor anomalies, and maybe a chart with all of the ETFs filled in for the spaces. This article reminded me of the project…with an interesting quote from Bill Bernstein:
IU.com: So, short-term T-bills remain appropriate on the fixed-income side, and on the equities side, would you hew to the classic broad-market passive investment frames of reference you’ve long embraced?
Bernstein: Yes, but I’ve always believed in factor tilts. And there are some new factors. There’s profitability and momentum, and I think those will hold a premium in the future.