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).
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.
I am especially talking about the following risk premia (mainly, but not exclusively in equities, fixed income, derivatives):
- "Curve" or "term premium"
- Momentum and trend
For a good overview see: Systematic Risk Premia Across Asset Classes