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

Article Information

vol. 49 no. 2 57-94
DOI 
https://doi.org/10.3905/jpm.2022.1.453
Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online January 3, 2023.

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Copyright & Usage 
© 2022 Pageant Media Ltd

Author Information

  1. Michele Aghassi
    1. is a principal at AQR Capital, LLC, in Greenwich, CT. (michele.aghassi{at}aqr.com)
  2. Cliff Asness
    1. is managing principal at AQR Capital, LLC, in Greenwich, CT. (cliff.asness{at}aqr.com)
  3. Charles Fattouche
    1. is an executive director at AQR Capital, LLC, in Greenwich, CT. (charles.fattouche{at}aqr.com)
  4. Tobias J. Moskowitz
    1. is a principal at AQR Capital, LLC, in Greenwich, CT, a professor of finance in the School of Management at Yale University in New Haven, CT, and a research associate at the National Bureau of Economic Research. (tobias.moskowitz{at}aqr.edu); (tobias.moskowitz{at}yale.edu)
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Fact, Fiction, and Factor Investing
Michele Aghassi, Cliff Asness, Charles Fattouche, Tobias J. Moskowitz
The Journal of Portfolio Management Dec 2022, 49 (2) 57-94; DOI: 10.3905/jpm.2022.1.453
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