3Lun
The approach fits. However, in order to arrive at viable statements about factors, you need long time series, at least 30 years, preferably 50 or 100. Why didn't you use these?
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@Epi Thank you for your feedback. My primary goal was to understand how the individual factor ETFs approach stock selection, hence this way of looking at it. However, you are right that a longer time period would be interesting. Unfortunately, most ETFs/indices have only been around for 10-15 years. Do you know of a good overview/site where I can research this? otherwise just add here :)
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