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In the draft chapter about hedge funds of his forthcoming book Andrew Ang postulates the dawn of new factor funds (p. 35 ff.), i.e. funds that directly target factors like volatility, value-growth, size, momentum etc. and give investors direct access to factor risk premiums much more cheaply.

On the other hand the Wall Street Journal reports that Russell Investments just closed down comparable investment vehicles (factor ETFs).

My question
Do you know of any investable factor indices/ETFs/funds and/or any current activities that go into that direction and will be launched in the foreseeable future? These don't need to be restricted to the US, I am also interested in activities around the world.

EDIT
I am especially talking about the following risk premia (mainly, but not exclusively in equities, fixed income, derivatives):

  • Carry
  • "Curve" or "term premium"
  • Size
  • Value
  • Momentum and trend
  • Liquidity
  • Volatility

For a good overview see: Systematic Risk Premia Across Asset Classes

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  • $\begingroup$ Are there not already tons of such ETFs out there? I am thinking of the likes of VXX, growth funds, micro cap funds (size), ethical corporation funds. To my knowledge there are also funds that target trading strategies, such as breakouts, mean reversion, momentum. Let me dig into it when I find a bit more time. $\endgroup$
    – Matt Wolf
    Commented Mar 19, 2013 at 15:25
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    $\begingroup$ Will do. I was quite surprised at the content of your cited paper. I found it very ill-researched and overly critical of hedge funds in general without really providing factual backup. Starting up a hedge fund is anything but low barrier these days something I can attest to from own experience. And just because some LTCM survivors attempted to startup their own fund and failed again does not mean the industry as a whole is flawed. Nothing related to you of course just an observation when I browsed through the reference. $\endgroup$
    – Matt Wolf
    Commented Mar 19, 2013 at 15:42
  • $\begingroup$ @Freddy: Yes, but I think not in this systematic, cost-effective and factor-specific manner. But perhaps there really are some. I am looking forward to your answer then! Thank you. $\endgroup$
    – vonjd
    Commented Mar 19, 2013 at 15:43
  • $\begingroup$ @vonjd Can you name a specific factor you are looking for? Freddy is right that there are tons of ETFs that cater to Fama-French-style factors. $\endgroup$
    – chrisaycock
    Commented Mar 19, 2013 at 16:10
  • $\begingroup$ Made the question more precise. $\endgroup$
    – vonjd
    Commented Mar 20, 2013 at 12:14

1 Answer 1

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Here couple ETFs that may satisfy what you are looking for:

Those include ETFs with a momentum approach, mean-reversion approach, micro cap approach, and high-beta approach. Just a small subset of the many others available, but it should answer your question that yes, there are plenty such ETFs out there.

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  • $\begingroup$ +1 Thank you. Strange that Professor Ang, who normally has a good market overview, writes the complete opposite... $\endgroup$
    – vonjd
    Commented Mar 20, 2013 at 11:09

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