Table of Contents

Quantitative Special Issue 2023; Volume 49,Issue 2

A

  1. Aghassi, Michele

    1. 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

  2. Ang, Andrew

    1. Trends and Cycles of Style Factors in the 20th and 21st Centuries
      Andrew Ang
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 33-56; DOI: https://doi.org/10.3905/jpm.2022.1.455

  3. Arnott, Rob

    1. 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

  4. Asness, Cliff

    1. 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

B

  1. Bender, Jennifer

    1. 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

  2. Blitz, David

    1. Factor Investing: The Best Is Yet to Come
      David Blitz
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 10-18; DOI: https://doi.org/10.3905/jpm.2022.1.445

C

  1. Cheng, Eddie

    1. The Lost Decade: Have Macro Factor Risk Premia Become Irrelevant?
      Chenfei Ma, Eddie Cheng and Wai Lee
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 95-110; DOI: https://doi.org/10.3905/jpm.2022.1.439

D

  1. de Silva, Harindra

    1. On Factor Purity in Investment Portfolios
      Harindra de Silva
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 26-32; DOI: https://doi.org/10.3905/jpm.2022.1.447

  2. DiCiurcio, Kevin J.

    1. A Fair Value Approach to Forecasting Value versus Growth Returns
      Olga Lepigina, Kevin J. DiCiurcio and Ian Kresnak
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 162-174; DOI: https://doi.org/10.3905/jpm.2022.49.2.162

  3. Dong, Nanqing

    1. Improving Equity Fund Alpha Estimates with a Second Size Factor
      Nanqing Dong, Luka Jankovic, Anne Stewart and Scott Stewart
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 175-187; DOI: https://doi.org/10.3905/jpm.2022.1.435

F

  1. Fabozzi, Frank J.

    1. Editor’s Introduction for 2023 Special Issue on Factor Investing
      Frank J. Fabozzi
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 1-3; DOI: https://doi.org/10.3905/jpm.2022.49.2.001

  2. Fattouche, Charles

    1. 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

  3. Flint, Emlyn

    1. 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

J

  1. Jankovic, Luka

    1. Improving Equity Fund Alpha Estimates with a Second Size Factor
      Nanqing Dong, Luka Jankovic, Anne Stewart and Scott Stewart
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 175-187; DOI: https://doi.org/10.3905/jpm.2022.1.435

  2. Jeet, Vishv

    1. Brinson-Style Attribution over Continuous Factors
      Vishv Jeet and Amit Partani
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 216-223; DOI: https://doi.org/10.3905/jpm.2022.1.446

K

  1. Kalesnik, Vitali

    1. 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

  2. Kaufmann, Hendrik

    1. 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

  3. Kresnak, Ian

    1. A Fair Value Approach to Forecasting Value versus Growth Returns
      Olga Lepigina, Kevin J. DiCiurcio and Ian Kresnak
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 162-174; DOI: https://doi.org/10.3905/jpm.2022.49.2.162

L

  1. Laopodis, Nikiforos T.

    1. When Do and Which Fama–French Factors Explain Industry Returns?
      Nikiforos T. Laopodis
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 141-161; DOI: https://doi.org/10.3905/jpm.2022.1.432

  2. Lee, Wai

    1. The Lost Decade: Have Macro Factor Risk Premia Become Irrelevant?
      Chenfei Ma, Eddie Cheng and Wai Lee
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 95-110; DOI: https://doi.org/10.3905/jpm.2022.1.439

  3. Lepigina, Olga

    1. A Fair Value Approach to Forecasting Value versus Growth Returns
      Olga Lepigina, Kevin J. DiCiurcio and Ian Kresnak
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 162-174; DOI: https://doi.org/10.3905/jpm.2022.49.2.162

M

  1. Ma, Chenfei

    1. The Lost Decade: Have Macro Factor Risk Premia Become Irrelevant?
      Chenfei Ma, Eddie Cheng and Wai Lee
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 95-110; DOI: https://doi.org/10.3905/jpm.2022.1.439

  2. Messow, Philip

    1. 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

  3. Moskowitz, Tobias J.

    1. 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

P

  1. Partani, Amit

    1. Brinson-Style Attribution over Continuous Factors
      Vishv Jeet and Amit Partani
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 216-223; DOI: https://doi.org/10.3905/jpm.2022.1.446

S

  1. Stewart, Anne

    1. Improving Equity Fund Alpha Estimates with a Second Size Factor
      Nanqing Dong, Luka Jankovic, Anne Stewart and Scott Stewart
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 175-187; DOI: https://doi.org/10.3905/jpm.2022.1.435

  2. Stewart, Scott

    1. Improving Equity Fund Alpha Estimates with a Second Size Factor
      Nanqing Dong, Luka Jankovic, Anne Stewart and Scott Stewart
      The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 175-187; DOI: https://doi.org/10.3905/jpm.2022.1.435

V

  1. Vermaak, Rademeyer

    1. 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

W

  1. Wisser, Frederik

    1. 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

  2. Wu, Lillian

    1. 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
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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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