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Chapter 20 Notes - The Footnotes in the Book are sequential and for this chapter start at #400 and end at #415.
These notes are provided for those that have purchased the book and would like to access the notes and links directly.
1. Simon Constable writing in early 2019 discussed the term "quantamental" - "an investment strategy that combines a fundamental approach to investing with a quantitative one" in "What Is ‘Quantamental’ Investing?" Wall Street Journal, April 7, 2019 https://www.wsj.com/articles/what-is-quantamental-investing-11554688800
2. See "Now we have a zoo of new factors" at https://afajof.org/presidential-address-videos/
and "To address these questions in the zoo of new variables" at https://faculty.chicagobooth.edu/john.cochrane/research/papers/discount_rates_jf.pdf
3. Campbell Harvey, Yan Liu, "A Census of the Factor Zoo" March 25, 2019 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3341728
4. For instance, on page 18 of "Credit Suisse Global Investment Returns Yearbook 2018" Elroy Dimson, Paul Marsh, Mike Staunton summarize factor investing and mention Black. http://publications.credit-suisse.com/index.cfm/publikationen-shop/research-institute/credit-suisse-global-investment-returns-yearbook-2018-en/
5. See “Factor Investing and Asset Allocation: A Business Cycle Perspective”, Vasant Naik, Mukundan Devarajan, Andrew Nowobilski, Sébastien Page, Niels Pedersen, December 2016 https://www.cfainstitute.org/learning/products/publications/rf/Pages/rf.v2016.n4.1.aspx
6. "The Arbitrage Theory of Capital Asset Pricing," S.A. Ross, Journal of Economic Theory, December 1976
7. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency" Narasimhan Jegadeesh and Sheridan Titman The Journal of Finance, March 1993
8. On Persistence in Mutual Fund Performance, Mark M. Carhart, The Journal of Finance, March 1997
9. “The Cross-Section of Expected Stock Returns.” Fama, Eugene F. and Kenneth R. French. Journal of Finance, June 1992.
10. “A Five-Factor Asset Pricing Model” Fama, Eugene F., and Kenneth R. French, Journal of Financial Economics, April 2015
11. "A Decade of Results" The Past, Present, and Future of Fundamental Index® Strategies https://www.schwabfunds.com/secure/file/P-10857154
12. For a summary of momentum see Corey Hoffsteinon, Two Centuries of Momentum, March 23, 2018 https://blog.thinknewfound.com/2018/03/two-centuries-of-momentum/
13. Smart Beta: Too Good to be True? Bruce I. Jacobs, Ph.D. Kenneth N. Levy , The Journal of Financial Perspectives, July 2015 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2567839
14. "Investors Can Miss the Forest for the Smart Beta Trees" Nir Kaissar, May 7, 2018 https://www.bloomberg.com/view/articles/2018-05-07/smart-beta-can-obscure-the-big-investing-picture
16. John West, Jason Hsu, "The Biggest Failure in Investment Management: How Smart Beta Can Make It Better or Worse" October 2018 https://www.researchaffiliates.com/en_us/publications/articles/687-the-biggest-failure-in-investment-management-how-smart-beta-can-make-it-better-or-worse.html
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