Your Complete Guide to Factor-Based Investing

COPYRIGHT......Page 2
PRAISE......Page 3
ALSO BY......Page 6
ACKNOWLEDGEMENTS......Page 10
FOREWORD......Page 12
INTRODUCTION......Page 18
CHAPTER 1: MARKET BETA......Page 27
CHAPTER 2: THE SIZE FACTOR......Page 41
CHAPTER 3: THE VALUE FACTOR......Page 54
CHAPTER 4: THE MOMENTUM FACTOR......Page 76
CHAPTER 5: THE PROFITABILITY & QUALITY FACTORS......Page 95
CHAPTER 6: THE TERM FACTOR......Page 114
CHAPTER 7: THE CARRY FACTOR......Page 121
CHAPTER 8: DOES PUBLICATION REDUCE THE SIZE OF PREMIUMS?......Page 134
CHAPTER 9: IMPLEMENTING A DIVERSIFIED FACTOR PORTFOLIO......Page 155
CONCLUSION......Page 163
APPENDIX A: TRACKING ERROR REGRET: THE INVESTOR'S ENEMY......Page 166
APPENDIX B: THE TRUTH ABOUT SMART BETA......Page 175
APPENDIX C: DIVIDENDS ARE NOT A FACTOR......Page 184
APPENDIX D: THE LOW-VOLATILITY FACTOR......Page 199
APPENDIX E: THE DEFAULT FACTOR......Page 216
APPENDIX F: TIME-SERIES MOMENTUM......Page 233
APPENDIX G: MARGINAL UTILITY OF INCREMENTAL FACTORS ON FUND RETURNS......Page 243
APPENDIX H: SPORTS BETTING AND ASSET PRICING......Page 246
APPENDIX I: REEVALUATING THE SIZE PREMIUM......Page 256
APPENDIX J: IMPLEMENTATION: MUTUAL FUNDS AND EFTS......Page 261
GLOSSARY......Page 270
REFERENCES......Page 283