Factors, Risk Premia

Factor-Based Investing: The Long-Term Evidence
Elroy Dimson, Paul Marsh and Mike Staunton
The Journal of Portfolio Management Special QES Issue 2017, 43 (5) 15-37; DOI: https://doi.org/10.3905/jpm.2017.43.5.015

The Promises and Pitfalls of Factor Timing
Jennifer Bender, Xiaole Sun, Ric Thomas and Volodymyr Zdorovtsov
The Journal of Portfolio Management Quantitative Special Issue 2018, 44 (4) 79-92; DOI: https://doi.org/10.3905/jpm.2018.44.4.079

Factor Timing with Cross-Sectional and Time-Series Predictors
Philip Hodges, Ked Hogan, Justin R. Peterson and Andrew Ang
The Journal of Portfolio Management Fall 2017, 44 (1) 30-43; DOI: https://doi.org/10.3905/jpm.2017.44.1.030

Bridging the Gap: Adding Factors to Passive and Active Allocations
Anil Rao, Raman Aylur Subramanian and Dimitris Melas
The Journal of Portfolio Management Quantitative Special Issue 2018, 44 (4) 17-31; DOI: https://doi.org/10.3905/jpm.2018.44.4.017

Mimicking Portfolios
Richard Roll and Akshay Srivastava
The Journal of Portfolio Management Spring 2018, 44 (5) 21-35; DOI: https://doi.org/10.3905/jpm.2018.44.5.021

Black–Litterman with a Factor Structure Applied to Multi-Asset Portfolios
Ilya Figelman
The Journal of Portfolio Management Multi-Asset Special Issue 2018, 44 (2) 136-155; DOI: https://doi.org/10.3905/jpm.2018.44.2.136

Two Types of Factors: A Return Decomposition for Factor Portfolios
Joseph Kushner
The Journal of Portfolio Management Summer 2017, 43 (4) 17-32; DOI: https://doi.org/10.3905/jpm.2017.43.4.017

Can ESG Add Alpha? An Analysis of ESG Tilt and Momentum Strategies
Zoltán Nagy, Altaf Kassam and Linda-Eling Lee
The Journal of Investing Summer 2016, 25 (2) 113-124; DOI: https://doi.org/10.3905/joi.2016.25.2.113

Quantifying Backtest Overfitting in Alternative Beta Strategies
Antti Suhonen, Matthias Lennkh and Fabrice Perez
The Journal of Portfolio Management Winter 2017, 43 (2) 90-104; DOI: https://doi.org/10.3905/jpm.2017.43.2.090

Multifactor Index Construction: A Skeptical Appraisal of Bottom-Up Approaches
Noël Amenc, Felix Goltz and Sivagaminathan Sivasubramanian
The Journal of Index Investing Summer 2018, 9 (1) 6-17; DOI: https://doi.org/10.3905/jii.2018.9.1.006

Idiosyncratic Momentum: U.S. and International Evidence
Denis B. Chaves
The Journal of Investing Summer 2016, 25 (2) 64-76; DOI: https://doi.org/10.3905/joi.2016.25.2.064

Total Portfolio Factor, Not Just Asset, Allocation
Robert Bass, Scott Gladstone and Andrew Ang
The Journal of Portfolio Management Special QES Issue 2017, 43 (5) 38-53; DOI: https://doi.org/10.3905/jpm.2017.43.5.038

Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting
Jean-Michel Maeso and Lionel Martellini
The Journal of Alternative Investments Summer 2017, 20 (1) 27-42; DOI: https://doi.org/10.3905/jai.2017.20.1.027

From Risk Premia to Smart Betas: A Unified Framework
Alexandre S. Da Silva and Wai Lee
The Journal of Portfolio Management Fall 2017, 44 (1) 44-54; DOI: https://doi.org/10.3905/jpm.2017.44.1.044

Factor Approach to Fixed Income Allocation
Ramu Thiagarajan, Douglas J. Peebles, Sonam Leki Dorji, Jiho Han and Chris Wilson
The Journal of Investing Spring 2016, 25 (1) 74-84; DOI: https://doi.org/10.3905/joi.2016.25.1.074

Reach for Safety
Johnny Kang, Tom Parker, Scott Radell and Ralph Smith
The Journal of Fixed Income Spring 2018, 27 (4) 6-21; DOI: https://doi.org/10.3905/jfi.2018.27.4.006

Ibbotson’s Default Premium: Risky Data
Winfried G. Hallerbach and Patrick Houweling
The Journal of Investing Summer 2013, 22 (2) 95-105; DOI: https://doi.org/10.3905/joi.2013.22.2.095