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

Rob Arnott; Campbell R. Harvey; Vitali Kalesnik; Juhani Linnainmaa

doi:10.3905/jpm.2019.45.4.018

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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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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