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Factor Investing: Challenging the Market Index with Smart Beta Products

  • Elisabetta Basilico
  • Tommi Johnsen
Chapter
  • 116 Downloads

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.

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Copyright information

© The Author(s) 2019

Authors and Affiliations

  • Elisabetta Basilico
    • 1
  • Tommi Johnsen
    • 2
  1. 1.Applied Quantitative Analysis LLCDenverUSA
  2. 2.Reiman School of FinanceUniversity of DenverDenverUSA

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