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Factor Investing: Challenging the Market Index with Smart Beta Products

In: Smart(er) Investing

Author

Listed:
  • Elisabetta Basilico

    (Applied Quantitative Analysis LLC)

  • Tommi Johnsen

    (University of Denver)

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.

Suggested Citation

  • Elisabetta Basilico & Tommi Johnsen, 2019. "Factor Investing: Challenging the Market Index with Smart Beta Products," Springer Books, in: Smart(er) Investing, chapter 4, pages 37-54, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-26692-9_4
    DOI: 10.1007/978-3-030-26692-9_4
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