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The Journal of Portfolio Management

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Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

Rob Arnott, Campbell R. Harvey, Vitali Kalesnik and Juhani Linnainmaa
The Journal of Portfolio Management April 2019, 45 (4) 18-36; DOI: https://doi.org/10.3905/jpm.2019.45.4.018
Rob Arnott
is a partner and chairman of the board at Research Affiliates, LLC, in Newport Beach, CA
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Campbell R. Harvey
is a professor of finance at the Fuqua School of Business at Duke University in Durham, NC, and a partner and senior advisor at Research Affiliates, LLC
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Vitali Kalesnik
is a partner and director of research for Europe at Research Affiliates Global Advisors (Europe), Limited, in London, UK
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Juhani Linnainmaa
is a professor of finance and business economics at the USC Marshall School of Business in Los Angeles, CA, and a partner and advisor at Research Affiliates, LLC
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The Journal of Portfolio Management: 45 (4)
The Journal of Portfolio Management
Vol. 45, Issue 4
April 2019
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Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing
Rob Arnott, Campbell R. Harvey, Vitali Kalesnik, Juhani Linnainmaa
The Journal of Portfolio Management Mar 2019, 45 (4) 18-36; DOI: 10.3905/jpm.2019.45.4.018

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Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing
Rob Arnott, Campbell R. Harvey, Vitali Kalesnik, Juhani Linnainmaa
The Journal of Portfolio Management Mar 2019, 45 (4) 18-36; DOI: 10.3905/jpm.2019.45.4.018
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  • Article
    • Abstract
    • WHY FACTOR PREMIUMS VANISH
    • FACTORS ARE FAR FROM NORMAL
    • DIVERSIFICATION FALLS SHORT OF EXPECTATIONS
    • ARE FACTORS BROKEN? OR FAR RISKIER THAN WE THINK?
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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