Download this Paper Open PDF in Browser

Survey of Quality Investing

34 Pages Posted: 19 May 2017  

Jason C. Hsu

Rayliant Global Advisors; Research Affiliates, LLC; University of California, Los Angeles - Anderson School of Business

Vitali Kalesnik

Research Affiliates LLC

Engin Kose

Research Affiliates, LLC

Date Written: May 19, 2017

Abstract

Factor investing has experienced a resurgence in popularity under the moniker “smart beta.” Several traditional factors, such as value, size, momentum, and low beta, are well defined and have been heavily researched in academia as return anomalies for many decades. These factors have also been exploited by practitioners as quantitative strategies for enhancing returns. Today, these factors each define a distinct smart beta category (think of style boxes for smart beta strategies) and are the foundational building blocks for the now-ubiquitous multi-factor products.

Keywords: factor investing, multifactor, smart beta, quality factor, quality investing

Suggested Citation

Hsu, Jason C. and Kalesnik, Vitali and Kose, Engin, Survey of Quality Investing (May 19, 2017). Available at SSRN: https://ssrn.com/abstract=2971185 or http://dx.doi.org/10.2139/ssrn.2971185

Jason C. Hsu (Contact Author)

Rayliant Global Advisors ( email )

Hong Kong

Research Affiliates, LLC ( email )

620 Newport Center Dr
Suite 900
Newport Beach, CA 92660
United States

HOME PAGE: http://www.jasonhsu.org

University of California, Los Angeles - Anderson School of Business

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

Vitali Kalesnik

Research Affiliates LLC ( email )

620 Newport Center Dr
Ste 900
Newport Beach, CA 92660
United States
949-325-8717 (Phone)
949-325-8917 (Fax)

HOME PAGE: http://researchaffiliates.com/index.htm

Engin Kose

Research Affiliates, LLC ( email )

620 Newport Center Dr
Suite 900
Newport Beach, CA 92660
United States

Paper statistics

Downloads
456
Rank
51,293
Abstract Views
1,382