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An interesting topic for follow-up research would be to examine the development of ETF factor exposures over time. This,
however, would require a survivorship-bias-free historical database of ETFs, instead of the point-in-time analysis conducted
in this paper. The findings for ETFs in this paper also raise the
question of what aggregate factor exposures look like for other
types of investment vehicles. Blitz (2017) examines the aggregate factor exposures of hedge funds and also finds little
evidence that, as a group, these funds are harvesting factor premiums. In fact, hedge funds are found to be betting strongly
against the low-volatility effect, and, as such, appear to be
clearly on the opposite side of this trade.
The author thanks Matthias Hanauer, Jan Sytze Mosselaar,
Laurens Swinkels, and Pim van Vliet for helpful comments
David Blitz, PhD, is head of quantitative equity research at Robeco Asset
Management in the Netherlands. Contact him at firstname.lastname@example.org.
1. See http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_
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