RT Journal Article
SR Electronic
T1 Fact, Fiction, and Factor Investing
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 57
OP 94
DO 10.3905/jpm.2022.1.453
VO 49
IS 2
A1 Aghassi, Michele
A1 Asness, Cliff
A1 Fattouche, Charles
A1 Moskowitz, Tobias J.
YR 2022
UL http://jpm.pm-research.com/content/49/2/57.abstract
AB Factor investing has been around for several decades, backed by an enormous body of literature, and yet it is still surrounded by much confusion and debate. Some of the rhetoric and myths have existed for a long time, while others have arisen in response to the difficult performance from 2018 to 2020 and the subsequent turnaround. This article examines many claims about factor investing; some are timeless, while others are focused on specific concerns that have emerged recently. The authors reference an extensive academic literature and perform simple, yet powerful, analysis to address these claims.