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Paper / 2021SMQ / 7027422746727
Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?
Chris Brightman / Feifei Li / Forrest G. Henslee / Juhani T. Linnainmaa / Vitali mname Kalesnik
asset pricing / factor investingResource overview

Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?

Paper2021

by Chris Brightman, Feifei Li, Forrest G. Henslee, Juhani T. Linnainmaa, Vitali mname Kalesnik

Tags
asset pricingfactor investing

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Suggested foundations for asset pricing and factor research and portfolio construction. Specialist prerequisites vary by paper.

Before you read

  1. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  2. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

  3. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  4. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

Go further

  1. Factor construction

    Connect factor definitions to portfolio construction.

  2. Time-series and cross-sectional tests

    Distinguish exposure estimation from tests of expected returns.

  3. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

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