Searching for Market Drivers: Factor Investing

Enrica Bolognesi ()
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Enrica Bolognesi: University of Udine

Chapter Chapter 4 in New Trends in Asset Management, 2023, pp 39-57 from Springer

Abstract: Abstract Factor investing is designed to select securities based on different market drivers among which, the first that have been identified from the academic literature are size, value, and momentum. Factor research has the objective of generating risk and return profiles that differ from traditional models, focusing on different market drivers compatible with investor expectations. This investment style can be considered somewhere between active management and passive management. Active because the research is that of active returns with respect to the market portfolio, passive because it is based on defined and transparent rules. In this chapter, we first focus on the origins of factors through the academic literature. Secondly, we move to the asset manager’s perspective describing the various facets of factor investing in asset management. Finally, we focus on indexes aimed to describe each factor.

Keywords: Factor investing; Smart beta; Fama and French three-factor model; Factor indexing (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-35057-3_4

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DOI: 10.1007/978-3-031-35057-3_4

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