Table of Contents

Quantitative Special Issue 2023; Volume 49,Issue 2

Editor’s Introduction for 2023 Special Issue on Factor Investing

Factor Investing: The Best Is Yet to Come

A Tour of the Factor Funhouse

  • A Tour of the Factor Funhouse
    Jennifer Bender
    The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 19-25; DOI: https://doi.org/10.3905/jpm.2022.1.443

On Factor Purity in Investment Portfolios

Fact, Fiction, and Factor Investing

  • Fact, Fiction, and Factor Investing
    Michele Aghassi, Cliff Asness, Charles Fattouche and Tobias J. Moskowitz
    The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 57-94; DOI: https://doi.org/10.3905/jpm.2022.1.453

The Lost Decade: Have Macro Factor Risk Premia Become Irrelevant?

Mitigating the Hidden Risks of Factor Investing

  • Mitigating the Hidden Risks of Factor Investing
    Rob Arnott, Vitali Kalesnik and Lillian Wu
    The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 111-124; DOI: https://doi.org/10.3905/jpm.2022.1.454

Factor Information Decay: A Global Study

  • Factor Information Decay: A Global Study
    Emlyn Flint and Rademeyer Vermaak
    The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 125-140; DOI: https://doi.org/10.3905/jpm.2022.1.433

When Do and Which Fama–French Factors Explain Industry Returns?

A Fair Value Approach to Forecasting Value versus Growth Returns

Improving Equity Fund Alpha Estimates with a Second Size Factor

Putting Credit Factor Investing into Practice

  • Putting Credit Factor Investing into Practice
    Hendrik Kaufmann, Philip Messow and Frederik Wisser
    The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 188-215; DOI: https://doi.org/10.3905/jpm.2022.1.436

Brinson-Style Attribution over Continuous Factors

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The Journal of Portfolio Management: 49 (2)
The Journal of Portfolio Management
Vol. 49, Issue 2
Quantitative Special Issue 2023
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