Alice's adventures in factorland: Three blunders that plague factor investing

RD Arnott, CR Harvey, V Kalesnik… - Available at SSRN …, 2019 - papers.ssrn.com
Factor investing has failed to live up to its many promises. Its success is compromised by
three problems that are often underappreciated by investors. First, many investors develop …

What is quality?

J Hsu, V Kalesnik, E Kose - Financial Analysts Journal, 2019 - Taylor & Francis
Unlike standard factors, such as value, momentum, and size, “quality” lacks a commonly
accepted definition. Practitioners, however, are increasingly gravitating to this style factor. They …

A survey of alternative equity index strategies

T Chow, J Hsu, V Kalesnik, B Little - Financial Analysts Journal, 2011 - Taylor & Francis
After reviewing the methodologies behind the more popular quantitative investment
strategies offered to investors as passive equity indices, the authors devised an integrated …

How Can'Smart Beta'Go Horribly Wrong?

RD Arnott, N Beck, V Kalesnik… - Available at SSRN …, 2016 - papers.ssrn.com
Factor returns, net of changes in valuation levels, are much lower than recent performance
suggests. Value-add can be structural, and thus reliably repeatable, or situational—a product …

[HTML][HTML] Finding smart beta in the factor zoo

J Hsu, V Kalesnik - Research Affiliates (July), 2014 - advisorperspectives.com
Factors are becoming so numerous and exotic that John Cochrane referred to the collection
as a zoo. 1 While the concept is entertaining, the proliferation of factors is deeply troubling. …

Reports of value's death may be greatly exaggerated

RD Arnott, CR Harvey, V Kalesnik… - Financial Analysts …, 2021 - Taylor & Francis
Value investing, as defined by the Fama–French high book-to-market minus low book-to-market
(HML) factor, has underperformed growth investing since 2007, producing a drawdown …

Factor momentum

RD Arnott, V Kalesnik… - The Review of Financial …, 2023 - academic.oup.com
Factors display strong cross-sectional momentum that subsumes momentum in industries
and other portfolio characteristics. The profits of all these momentum strategies—based on …

Will your factor deliver? An examination of factor robustness and implementation costs

N Beck, J Hsu, V Kalesnik, H Kostka - Financial Analysts Journal, 2016 - Taylor & Francis
The multifactor investing framework has become very popular in the indexing community.
Both academic and practitioner researchers have documented hundreds of equity factors. But …

The Surprising Alpha From Malkiel'sMonkey and Upside-Down Strategies

RD Arnott, J Hsu, V Kalesnik… - The Journal of Portfolio …, 2013 - jpm.pm-research.com
Recent index literature is replete with innovations that are based on quantitative strategies
and predicated on sensible investment beliefs. Empirical studies confirm that these strategies …

Performance attribution: Measuring dynamic allocation skill

JC Hsu, V Kalesnik, BW Myers - Financial Analysts Journal, 2010 - Taylor & Francis
Classical performance attribution methods do not explicitly assess managers’ dynamic
allocation skill in the factor domain. The authors propose a generalized framework for …