Factor investing is increasingly in vogue, with estimates of passive assets tracking such strategies reaching US$729B.

This popularity has led investors, academics and practitioners to question the extent to which factor premiums may have been arbitraged away and the future performance of such factor strategies.

One approach to answering these questions is to assess the relative valuation of factor strategies. In this paper, we review this ongoing debate and highlight key aspects that investors should consider when assessing factor valuations.