The death of factor returns has been highly exaggerated. Anyone claiming this is probably making these mistakes... 1. Only looking to large-cap or mega-caps This is by far the hardest place to find alpha. Everyone is competing in this space for an edge. All the common factors do not work consistently here. Value, momentum, sentiment...it works sometimes and in cycles. 2. Factors too diluted ETFs typically hold way too many stocks for pure factor tilts. If it holds hundreds of stocks or the parent universe is too small, the factor will be like watered down beer. You can't just split the S&P 500 universe down the middle, which is too small to begin with, and call half of it value and the other half growth. So many things wrong with this approach. 3. Information decay Factors have a half-life. They change over time. Different styles change at different rates. Value is fairly stable for a long time while momentum and investment factors change rapidly. If the optimal rebalance point is 3 months yet your fund only does so annually, you'll have little true factor exposure for 9 months of the year. What I have found is that factor returns are by far the strongest in smallcap and microcap stocks. The reason (I think so anyway) is that your average investor is retail. He is not as well informed so having institutional grade data at your fingertips is an edge. Judging from the microcap retail investors I know, they go for the stocks which might 10x. Put another way, they bid up the price on very risky stocks throwing the risk-to-reward ratio out of whack. Whatever the case, I find that factor investing works VERY strongly in smaller stocks. And institutions cannot go here. If they do, they have to hold for such long periods of time to keep turnover down that they really cannot harvest the factor premiums in a meaningful way. Factor investing is not dead. Not by a long shot. But it is mostly abundant in stocks that many prefer not to trade. Or they don't have cheap access to a platform which can model it. Typically, institutional grade software and data isn't cheap. That's why I love Portfolio123 for personal portfolios. The image below is showing a pre-defined multi-style factor ranking system which is available on Portfolio123 called Core Combination. It includes value, growth, quality, momentum, sentiment and low volatility. There is a 35% spread between high and low ranked stocks in microcaps (with liquidity filter) but only 2 - 3.5% spread in the S&P 500.

Sanford Bernstein corroborating our view that US shale has entered its twilight. I'm often asked what could be the catalyst to jolt bearish sentiment...this is it. Quite the contrast between "drill, baby drill" and peak US shale!

$POU.TO David Szybunka from Canoe own the stock, not a surprise considering the performance