The Smart Beta Indexing Puzzle
Cazalet, Name and Roncalli (2019) study factor investing in equities. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“To achieve this, portfolios are built which are more diversified and less volatile than CW portfolios.”
AssetEquities
StrategyFactor investing
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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