Factor Investing and Smart Beta
Slicing returns into value, size, momentum, quality, low volatility and carry, then buying the exposures cheaply.
9 books · 9 people behind it
Start here
- Your Complete Guide to Factor-Based InvestingAndrew L. Berkin, Larry E. Swedroe, 2016
- What Works on Wall StreetJames P. O'Shaughnessy, 1996
- Expected ReturnsAntti Ilmanen, 2011
- Active Portfolio ManagementRichard C. Grinold, Ronald N. Kahn, 1995
The people behind it 9
Each person holds a book in this entry or names it in their own tags.
Investors 5
AI
Antti Ilmanen1 book hereJP
James P. O'Shaughnessy1 book here
Clifford Asnessnamed in their tags
Robert D. Arnottnamed in their tagsLS
Larry Swedroenamed in their tagsAcademics 4
BG
Burton G. Malkielnamed in their tags
Campbell R. Harveynamed in their tagsEugene F. Famanamed in their tagsRA
Robert A. Haugennamed in their tagsBooks 9
Richard C. Grinold, Ronald N. Kahn · 1995 · The fundamental law of active management; the quantitative reference.
James P. O'Shaughnessy · 1996 · Long-run backtests of the standard screens; the popular origin of factor testing.
Antti Ilmanen · 2011 · The most complete single survey of return sources across asset classes.
Andrew Ang · 2014 · Factors as the nutrients in assets; written for asset owners.
Lasse Heje Pedersen · 2015 · How active strategies and factors actually make money net of frictions.
Andrew L. Berkin, Larry E. Swedroe · 2015 · How much alpha turned out to be factor exposure sold expensively.
Turan G. Bali, Robert F. Engle, Scott Murray · 2016 · The cross-sectional testing methods behind every factor claim.
Andrew L. Berkin, Larry E. Swedroe · 2016 · Sets evidence bars a factor must clear before you allocate to it.