Factor Investing: Challenging the Market Index with Smart Beta Products

Elisabetta Basilico and Tommi Johnsen ()
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Elisabetta Basilico: Applied Quantitative Analysis LLC
Tommi Johnsen: University of Denver

Chapter 4 in Smart(er) Investing, 2019, pp 37-54 from Springer

Abstract: Abstract In this chapter, we address factor research and factor investing from the perspective of academics, practitioners and investors. We will use terms like smart beta, strategic beta, risk premia investing, style investing and factor investing interchangeably. They all mean the same thing: a systematic process where securities (equities, bonds, currencies, commodities) are grouped into buckets with similar characteristics like small or large market capitalization (the size factor), high or low book-to-market ratio (the value factor) and positive or negative historical prices (the momentum factor) to name a few.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-26692-9_4

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DOI: 10.1007/978-3-030-26692-9_4

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