Factor Investing

A topic within Investment Theory, itself one of 11 topics in that field and part of Finance & Investing.

Reading on Factor Investing

2 works

Paper1993

Common Risk Factors in the Returns on Stocks and Bonds

Eugene F. Fama & Kenneth R. French

Shows that adding a stock's size and book-to-market ratio to its market beta explains most of the cross-section of average stock returns that the single-factor CAPM leaves unexplained, giving investors a small number of factors to load on instead of one.

Finance & Investing · Investment Theory

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Book2016

Factor Investing and Asset Allocation: A Business Cycle Perspective

Vasant Naik, Mukundan Devarajan, Andrew Nowobilski, Sébastien Page & Niels Pedersen

Argues factor premia rise and fall with the business cycle rather than staying constant, and reworks strategic asset allocation around exposure to factors instead of exposure to asset classes.

Finance & Investing · Investment Theory

FreeAdvanced

Reading on Factor Investing

Common Risk Factors in the Returns on Stocks and Bonds

Factor Investing and Asset Allocation: A Business Cycle Perspective

Other topics in Investment Theory