- Discuss some of the developments that led to the rise of dynamic factor models and their growing role in portfolio management.
- Explain how traditional approaches to portfolio management based on individual security selection are nested in the concept of a factor-based view of the portfolio.
- Discuss how individual stocks may be of less importance to a portfolio manager employing a factor-based approach.
- Describe the empirical evidence on value and momentum strategies and explain how value and momentum may be used as complementary factors in portfolio management.
- How have financial innovations such as altered the way in which portfolio managers can express views in a portfolio?
1 Eugene F. Fama, “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance 25, no. 2 (1970): 383–417.
2 William F. Sharpe, “The Arithmetic of Active Management,” Financial Analysts Journal 47, no 1 (1976): 7–9.
3 Gary P. Brinson, G. Randolph Hood, and Gilbert L. Beebower, “Determinants of Portfolio Performance,” Financial Analysts Journal 42, no. 4 (1986): 39–44.
4 Gary P. Brinson, Gilbert L. Beebower, and Brain D. Singer, “Determinants of Portfolio Performance II: An update,” Financial Analysts Journal 47, no. 3 (1991): 40–48.
5 See, for examples, Roger G. Ibbotson and Paul D. Kaplan, “Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?” Financial Analysts Journal 56, no. 3 (2000): 26–33; Mark Kritzman and Sebastian Page, “The Hierarchy of ...