Index by author

Quantitative Special Issue 2022; Volume 48,Issue 2

A

  1. Ang, Andrew

    1. Investing in US Core Fixed Income with Macro and Style Factors
      Eugene Pauksta, Karishma Kaul, Tom Parker, Scott Radell and Andrew Ang
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 45-65; DOI: https://doi.org/10.3905/jpm.2021.1.309

B

  1. Bahaji, Hamza

    1. How Valuable Are Target Price Forecasts to Factor Investing?
      Hamza Bahaji
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 164-180; DOI: https://doi.org/10.3905/jpm.2021.1.305

  2. Baltussen, Guido

    1. Factor Investing in Sovereign Bond Markets: Deep Sample Evidence
      Guido Baltussen, Martin Martens and Olaf Penninga
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 209-225; DOI: https://doi.org/10.3905/jpm.2021.1.311

  3. Blitz, David

    1. The Quant Cycle
      David Blitz
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 26-43; DOI: https://doi.org/10.3905/jpm.2021.1.304

  4. Brightman, Chris

    1. Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?
      Chris Brightman, Forrest Henslee, Vitali Kalesnik, Feifei Li and Juhani Linnainmaa
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 144-163; DOI: https://doi.org/10.3905/jpm.2021.1.310

C

  1. Cai, Li

    1. Socially Responsible Investing and Factor Investing, Is There an Opportunity Cost?
      Li Cai, Ricky Cooper and Di He
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 181-197; DOI: https://doi.org/10.3905/jpm.2021.1.307

  2. Clarke, Roger

    1. Price Informativeness with Equity Market Factors
      Roger Clarke, Harindra de Silva and Steven Thorley
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 66-79; DOI: https://doi.org/10.3905/jpm.2021.1.303

  3. Cooper, Ricky

    1. Socially Responsible Investing and Factor Investing, Is There an Opportunity Cost?
      Li Cai, Ricky Cooper and Di He
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 181-197; DOI: https://doi.org/10.3905/jpm.2021.1.307

E

  1. Elkamhi, Redouane

    1. Factor Investing Using Capital Market Assumptions
      Redouane Elkamhi, Jacky S. H. Lee and Marco Salerno
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 119-143; DOI: https://doi.org/10.3905/jpm.2021.1.291

F

  1. Fabozzi, Frank J.

    1. Finding Value Using Momentum
      Bijon Pani and Frank J. Fabozzi
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 264-283; DOI: https://doi.org/10.3905/jpm.2021.1.272
    2. Open Access
      Editor’s Introduction for 2022 Special Issue on Factor Investing
      Frank J. Fabozzi
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 1-6; DOI: https://doi.org/10.3905/jpm.2021.48.2.001

  2. French, Ross

    1. Latent Factors in Equity Returns: How Many Are There and What Are They?
      Ross French
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 226-263; DOI: https://doi.org/10.3905/jpm.2021.1.296

H

  1. He, Di

    1. Socially Responsible Investing and Factor Investing, Is There an Opportunity Cost?
      Li Cai, Ricky Cooper and Di He
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 181-197; DOI: https://doi.org/10.3905/jpm.2021.1.307

  2. Henslee, Forrest

    1. Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?
      Chris Brightman, Forrest Henslee, Vitali Kalesnik, Feifei Li and Juhani Linnainmaa
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 144-163; DOI: https://doi.org/10.3905/jpm.2021.1.310

  3. Hixon, Scott

    1. Macro Factor Investing with Style
      Alexander Swade, Harald Lohre, Mark Shackleton, Sandra Nolte, Scott Hixon and Jay Raol
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 80-104; DOI: https://doi.org/10.3905/jpm.2021.1.306

K

  1. Kalesnik, Vitali

    1. Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?
      Chris Brightman, Forrest Henslee, Vitali Kalesnik, Feifei Li and Juhani Linnainmaa
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 144-163; DOI: https://doi.org/10.3905/jpm.2021.1.310

  2. Kaul, Karishma

    1. Investing in US Core Fixed Income with Macro and Style Factors
      Eugene Pauksta, Karishma Kaul, Tom Parker, Scott Radell and Andrew Ang
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 45-65; DOI: https://doi.org/10.3905/jpm.2021.1.309

L

  1. Lee, Jacky S. H.

    1. Factor Investing Using Capital Market Assumptions
      Redouane Elkamhi, Jacky S. H. Lee and Marco Salerno
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 119-143; DOI: https://doi.org/10.3905/jpm.2021.1.291

  2. Li, Feifei

    1. Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?
      Chris Brightman, Forrest Henslee, Vitali Kalesnik, Feifei Li and Juhani Linnainmaa
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 144-163; DOI: https://doi.org/10.3905/jpm.2021.1.310

  3. Linnainmaa, Juhani

    1. Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?
      Chris Brightman, Forrest Henslee, Vitali Kalesnik, Feifei Li and Juhani Linnainmaa
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 144-163; DOI: https://doi.org/10.3905/jpm.2021.1.310

  4. Lohre, Harald

    1. Macro Factor Investing with Style
      Alexander Swade, Harald Lohre, Mark Shackleton, Sandra Nolte, Scott Hixon and Jay Raol
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 80-104; DOI: https://doi.org/10.3905/jpm.2021.1.306

M

  1. Martens, Martin

    1. Factor Investing in Sovereign Bond Markets: Deep Sample Evidence
      Guido Baltussen, Martin Martens and Olaf Penninga
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 209-225; DOI: https://doi.org/10.3905/jpm.2021.1.311

  2. Melas, Dimitris

    1. The Future of Factor Investing
      Dimitris Melas
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 15-25; DOI: https://doi.org/10.3905/jpm.2021.1.308

N

  1. Nolte, Sandra

    1. Macro Factor Investing with Style
      Alexander Swade, Harald Lohre, Mark Shackleton, Sandra Nolte, Scott Hixon and Jay Raol
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 80-104; DOI: https://doi.org/10.3905/jpm.2021.1.306

P

  1. Pani, Bijon

    1. Finding Value Using Momentum
      Bijon Pani and Frank J. Fabozzi
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 264-283; DOI: https://doi.org/10.3905/jpm.2021.1.272

  2. Parker, Tom

    1. Investing in US Core Fixed Income with Macro and Style Factors
      Eugene Pauksta, Karishma Kaul, Tom Parker, Scott Radell and Andrew Ang
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 45-65; DOI: https://doi.org/10.3905/jpm.2021.1.309

  3. Pauksta, Eugene

    1. Investing in US Core Fixed Income with Macro and Style Factors
      Eugene Pauksta, Karishma Kaul, Tom Parker, Scott Radell and Andrew Ang
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 45-65; DOI: https://doi.org/10.3905/jpm.2021.1.309

  4. Penninga, Olaf

    1. Factor Investing in Sovereign Bond Markets: Deep Sample Evidence
      Guido Baltussen, Martin Martens and Olaf Penninga
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 209-225; DOI: https://doi.org/10.3905/jpm.2021.1.311

R

  1. Radell, Scott

    1. Investing in US Core Fixed Income with Macro and Style Factors
      Eugene Pauksta, Karishma Kaul, Tom Parker, Scott Radell and Andrew Ang
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 45-65; DOI: https://doi.org/10.3905/jpm.2021.1.309

  2. Raol, Jay

    1. Macro Factor Investing with Style
      Alexander Swade, Harald Lohre, Mark Shackleton, Sandra Nolte, Scott Hixon and Jay Raol
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 80-104; DOI: https://doi.org/10.3905/jpm.2021.1.306

S

  1. Salerno, Marco

    1. Factor Investing Using Capital Market Assumptions
      Redouane Elkamhi, Jacky S. H. Lee and Marco Salerno
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 119-143; DOI: https://doi.org/10.3905/jpm.2021.1.291

  2. Shackleton, Mark

    1. Macro Factor Investing with Style
      Alexander Swade, Harald Lohre, Mark Shackleton, Sandra Nolte, Scott Hixon and Jay Raol
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 80-104; DOI: https://doi.org/10.3905/jpm.2021.1.306

  3. Silva, Harindra de

    1. Price Informativeness with Equity Market Factors
      Roger Clarke, Harindra de Silva and Steven Thorley
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 66-79; DOI: https://doi.org/10.3905/jpm.2021.1.303

  4. Swade, Alexander

    1. Macro Factor Investing with Style
      Alexander Swade, Harald Lohre, Mark Shackleton, Sandra Nolte, Scott Hixon and Jay Raol
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 80-104; DOI: https://doi.org/10.3905/jpm.2021.1.306

T

  1. Thorley, Steven

    1. Price Informativeness with Equity Market Factors
      Roger Clarke, Harindra de Silva and Steven Thorley
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 66-79; DOI: https://doi.org/10.3905/jpm.2021.1.303

Z

  1. Zhang, Shaojun

    1. Toward Tax-Efficient Low-Volatility Investing
      Shaojun Zhang
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 198-207; DOI: https://doi.org/10.3905/jpm.2021.48.2.198
    2. Factor Construction Zoo: Are Factor Exposures Created Equal?
      Shaojun Zhang
      The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 105-118; DOI: https://doi.org/10.3905/jpm.2021.48.2.105
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The Journal of Portfolio Management: 48 (2)
The Journal of Portfolio Management
Vol. 48, Issue 2
Quantitative Special Issue 2022
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