Buckingham Your Complete Guide to Factor-Based Investing: The Way Smart Money Invests Today

Molto interessante, utile per avere una buona panoramica sull'argomento.

Wonderful book for anyone interested in passive investing, particularly factor-based investing. Based on thorough research papers. Shows which are “real factors” in factor-based investing and which are not. The “Tracking Error” section in Appendix is a must read. Great efforts by the authors to distill the subject.

Livro muito bom, especialmente com a quantidade de ETFs disponiveis hoje na B3

This is an outstanding addition to anyone's investing library. It is a must read for any individual investor or financial advisor interested in understanding modern investing. Over the last two decades there has been a huge shift in popular investing from active management to passive index funds. Modern investing has now moved beyond a single market factor world though. Market beta explains perhaps 60-70% of a portfolio's returns. Fama and French introduced the size and value factors, and the three factor model explained greater than 90% of a portfolio's returns. Now there are about five or six factors that explain about 95% of a portfolio's performance. These few factors stand out among the hundreds of factors that have been described in the literature.Larry and Andrew explain these factors and the data supporting them. They describe five criteria that a potential factor must meet to be real and meaningful. The equity factors described are the market factor, size, value, momentum, profitability/quality. Although learning these factors is important and potentially profitable to the investor, there is an even bigger and more important lesson in the book. The authors teach us how to evaluate any new potential factor or potential portfolio addition. They describe the five criteria that we can apply to these five equity factors and any potential factor we may come across in the future: persistent over time, pervasive across markets, robust to different definitions, intuitive to common sense, and investable at reasonable access and expense to us common folks. Understanding these criteria are vitally important to the investor. They emphasize that an investment plan is worthless if an investor can't stick to his plan. All factors will underperform for long periods. Understanding and believing the criteria will give the investor the fortitude to stick to his well thought out plan. Moreover, by looking at correlations, they build a powerful case for diversifying across factors.The book is very readable, but it is meant for the highly interested do it yourself investor or advisor, who already understands concepts of efficient markets, asset allocation, diversification. A serious investor will read this book and place it on his investment shelf. He will return to it periodically over the years to look at a few of the tables and some of the data as the various factors perform and underperform over the years.An important question arises. When these factors become well known, especially the behavioral (as opposed to risk based) factors, are they still worthy of investment? The authors address this in one of the last chapters. I strongly recommend this book for anyone interested in a serious look at modern investing in language someone without a finance degree can understand.

Exzellentes Buch über neuere Ansätze des Investments ( Multifaktorinvestment)