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• Fama French 5 factors
• Some Drawbacks
• References

Fama French 5 factors

Nobel laureate E.Fama和K.French開發了5因子模型，該模型基于他們在1993年開發的3因子模型(market risk, size and value).
公司規模效應(size effect)：市值較小的公司比市值較大的公司具有更高的盈利能力，這個效應在1963-1990年期間存在.
價值效應(value effect)：低市凈率(price to book, 股價與每股賬面價值之比)的股票比高市凈率的股票有著更好的表現(superior performance).

Fama和French加入了兩個新的因子到傳統的3因子模型中
盈利能力(profitability)：具有更高盈利能力的公司表現更好
投資價值(investment factor)：可以使用再投資率衡量(stocks of companies with the high total asset growth have below average returns).

Some Drawbacks

關于Fama-French 5因子模型的缺陷，這里直接引用Robeco experts的原文

Van Vliet sees the addition of two more quality factors as a big change from the old model，If you exclude market risk, the new model effectively doubles the number of factors to four. All these factors interact, which make it more difficult summarize the cross section of stock returns.
David Blitz is also critical about the way the empirical research is approached. This approach can even ben considered as a form of tautology(他認為這種方法的本質是同義反復), because they use five factors to explain the returns of those five factors.
The two new factors(profitability and investment) are thus used to explain their own performance. I would prefer it if they showed that just a handful of factors can be used to explain the performance of the numerous factors found in the literature.

同時Fama和French在論文¹的ABSTRACT中提到

The five-factor model’s main problem is its failure to capture the low average returns on small stocks whose returns behave like those of firms that invest a lot despite low profitability.

Van Vliet認為5因子模型中遺漏了動量因子(momentum)和低波動性因子(low volatility)，但是舍棄這兩個因子有著實際應用方面的考慮.

The market factor, which is similar to the beta factor of the capital asset pricing model, still assumes hgiher returns for higher risk, while a low-volatility factor would assume the opposite. An alternative approach would be to scrap the market factor altogether, but they did not choose this more radical step.

References

Fama-French 5-factor model: why more is not always better
a five factors asset pricing model
Fundamental_Factor_Models_Using_Machine_Learning
Fama-French五因子模型

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a five factors asset pricing model ??

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