12 Books on Factor Investing by Asset Managers

  1. Quantitative Portfolio Management by Edward Qian, Ronald Hua, Eric Sorensen

  2. Expected Returns by Antti Ilmanen

  3. Quantitative Value by Wesley Gray and Tobias Carlisle

  4. Quantitative Momentum by Wesley Gray and Jack Vogel

  5. Dual Momentum Investing by Gary Antonacci

  6. Little Book that Still Beats the Market by Joel Greenblatt

  7. Complete Guide to Factor Investing by Andrew Berkin and Larry Swedroe

  8. What Works on Wall-Street by James O'Shaughnessy

  9. Active Portfolio Management by Richard Grinold and Ronald Kahn

  10. Asset Management: A Systematic Approach to Factor Investing by Andrew Ang

  11. The Fundamental Index: A Better Way to Invest by Robert D. Arnott, Jason Hsu, John West

  12. Shareholder Yield: A Better Approach to Dividend Investing by Mebane Faber

PS. See a comprehensive 365 quant books list here

PS2. See a nice Korean translation of this post here