Is Factor Investing Sustainable after Price Impact Costs? The Capacity of Factor Investing in Korea

Abstract

This study investigates whether the profitability of various factor investments is sustainable after costs due to price impact, and estimates the capacity of strategies in the Korean stock market. With various initial amounts invested as of the end of December 2000, we analyze after-cost-returns on factor investing during the period from January 2000 to December 2017, and estimate the break-even fund size and maximal profit fund size. To this end, whenever rebalancing factor-investment portfolios based on trading rules, the number of shares of stocks to be bought and sold is computed and the price impact costs of the transactions are taken into account. This procedure computes the implicit cost of trading of factor investing to produce after-cost-returns for various initial amount invested. While the momentum and value factors perform well before price impact costs, the profitability factor performs better after price impact costs. More specifically, the break-even fund size is estimated to be 1.4 trillion Korean won (KRW), and the maximal profit generating fund size is estimated to be 750 billion KRW which could attain a monthly net profit of 1.9 billion KRW over the sample period.

Combining SWOT with AHP for Analyzing the Adoption of a Circular Economy in the Apparel Industry in Brazil

“…Although the requirement for more natural and less industrialized materials increases the cost of production [10], the increased demand for differentiated products should make circularity profitable. The expansion of products suggested by the research results with academics agrees with previous results [7] when examining the textile industry in Uzbekistan. The foremost opportunity presented by the authors is to manufacture cotton and export textile products with greater added value.…”

“…-Reduction in generated waste [7,15]; -Younger consumers with a sustainable mindset [13,20]; -The county's companies donate 80% of their waste to craft associations [34]. -Longer usage time of clothing [4,34].…”

“…Subcriteria Criteria 4 Threats Subcriteria -Expansion of the offer of products for future generations [5,34]; -Develop another source of income with the popularization of thrift stores [5,35]; -E-commerce increase [9,36]; -Emergence of a new perspective-Upcycling [7,14].…”

“…Sustainable fashion is also about considering apparel from the perspective of many stakeholders-users and producers, all living species, contemporaries, and future inhabitants of the Earth [6]. Sustainable fashion is the responsibility of citizens, the public, and the private sector [7]. Therefore, a link between the supply chain from materials to consumers must be observed.…”

“…We also comprised the references supporting the proposed choices. -Consumer is not willing to spend more for the product [13,36]; -Cost increase in the production process [7,16]; -Cost investment in marketing changes trends and encourages sustainable consumption [16,20].…”