Factor Investing

From Traditional to Alternative Risk Premia

Quantitative Finance SET Coordinated by Patrick Duvaut and Emmanuelle Jay

Factor Investing

Edited by

Emmanuel Jurczenko, Ecole hôtelière de Lausanne, Switzerland

ISBN : 9781785482014

Publication Date : September 2017

Hardcover 480 pp

215 USD



This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing.

The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.

Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing.


1. The Price of Factors and the Implications for Active Investing, Inigo Fraser-Jenkins.
2. Factor Investing: The Rocky Road from Long-Only to Long-Short, Marie Brière and Ariane Szafarz.
3. Peering under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions, Jennifer Bender, Xiaole Sun and Taie Wang.
4. Diversify and Purify Factor Premiums in Equity Markets, Raul Leote de Carvalho, Xiao Lu, François Soupé and Patrick Dugnolle.
5. The Predictability of Risk-Factor Returns, Robert J. Bianchi, Michael E. Drew and Scott N. Pappas.
6. Style Factor Timing, Yin Luo.
7. Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing, Daniel Giamouridis, Michael Neumann and Michael Steliaros.
8. Investment and Profitability: A Quality Factor that Actually Works, Jason Hsu, Vitali Kalesnik and Engin Kose.
9. Common Equity Factors in Corporate Bond Markets, Demir Bektic, Ulrich Neugebauer, Michael Wegener ?and Josef-Stefan Wenzler.
10. Alternative Risk Premia: What Do We Know?, Thierry Roncalli.
11. Strategic Portfolio Allocation With Factors, Bob Bass, David Greenberg and Michael Kishinevsky.
12. A Macro Risk-Based Approach to Alternative Risk Premia Allocation, Olivier Blin, Florian Ielpo, Joan Lee and Jérôme Teiletche.
13. Optimizing Cross-Asset Carry, Nick Baltas.
14. Diversification and the Volatility Risk Premium, Harindra Desilva, Gregory M. McMurran and Megan N. Miller.
15. Factor Investing and ESG Integration, Dimitris Melas, Zoltan Nagy and Padmakar Kulkarni.
16. The Alpha and Beta of Equity Hedge UCITS Funds: Implications for Momentum Investing, Nabil Bouamara, Kris Boudt, Benedict Peeters and James Thewissen.

About the authors

Emmanuel Jurczenko is Associate Dean and Professor of Finance at Ecole hôtelière de Lausanne, Switzerland. His research focuses on portfolio and risk management with a particular interest in risk budgeting, factor investing, and public and private equity real estate investments. Prior to joining Ecole hôtelière de Lausanne, he worked for ABN-AMRO between 2000 and 2006 as head of quantitative analysts, where he was in charge of quantitative fund selection.

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