The question I get asked the most during the past twelve months is “Why are factors not working?” Here are my top 12 personal thoughts on the topic—informed by 15+ years of successfully “factor investing”.
12 Reasons Why Traditional Asset Allocation Doesn’t Work
You Can't Throw Darts at Asset Classes
What Return to Expect From a Fairly Valued Stock?
Strategy Risk vs Asset Risk
Quantamental Investing - A Century of Inventions
Volatility vs Risk
What is better: Factor Zoo or Factor Museum?
Here are my 8-thoughts and 1 solution idea about Campbell Harvey and Yan Liu recently released paper on their influential concept of the factor zoo.
10 Large Scale Factor Anomaly Studies with Definitions
What if Asset Managers Switched with Advisors?
12 Books on Factor Investing by Asset Managers
Quantitative Portfolio Management by Edward Qian, Ronald Hua, Eric Sorensen
Expected Returns by Antti Ilmanen
Quantitative Value by Wesley Gray and Tobias Carlisle