1. Beck et al. (2016) find various specifications of a quality factor are not robust to variations in factor definition and market geography. In a follow-up article to Beck et al., Hsu, Kalesnik, and Kose (forthcoming 2017) examine subgroups within the broad “quality” umbrella, finding that among the many characteristics used to define quality, only profitability and investment are robust to variations in factor definition and market geography.
2. We point to further evidence of the benefits of timing smart betas described in the series of articles published by Arnott, Beck, and Kalesnik in 2016.
Arnott, Rob, Noah Beck, and Vitali Kalesnik. 2016a. “To Win with ‘Smart Beta’ Ask If the Price Is Right.” Research Affiliates (June).
———. 2016b. “Timing ‘Smart Beta’ Strategies? Of Course! Buy Low, Sell High!” Research Affiliates (September).
Arnott, Robert D., Noah Beck, Vitali Kalesnik, and John West. 2016. “How Can ‘Smart Beta’ Go Horribly Wrong?” Research Affiliates (February).
Asness, Cliff, Andrea Frazzini, Ronen Israel, Tobias Moskowitz, and Lasse H. Pedersen. 2015. “Size Matters, If You Control Your Junk.” AQR Working paper (January 22).
Beck, Noah, Jason Hsu, Vitali Kalesnik, and Helge Kostka. 2016. “Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs.” Financial Analysts Journal, vol. 72, no. 5 (September/October):32–56.
Beck, Noah, and Vitali Kalesnik. 2014. “Busting the Myth about Size.” Research Affiliates (December).
Carhart, Mark M. 1997. “On Persistence in Mutual Fund Performance.” Journal of Finance, vol. 52, no. 1 (March):57–82.
Fama, Eugene, and Kenneth R. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics, vol. 33:3–56.
———. 2012. “Size, Value, and Momentum in International Stock Returns.” Journal of Financial Economics, vol. 105, no. 3 (September):457–472.
———. 2015. “Dissecting Anomalies with a Five-Factor Model.” Fama–Miller Working Paper (June). Available at SSRN.
Frazzini, Andrea, and Lasse Heje Pedersen (2014). “Betting Against Beta.” Journal of Financial Economics, vol. 111, no. 1 (January): 1–25.
Harvey, Campbell R., Yan Liu, and Heqing Zhu. 2015. “…and the Cross-Section of Expected Returns.” Review of Financial Studies, vol. 29, no. 1 (October):5–68.
Hsu, Jason, Vitali Kalesnik, and Engin Kose. Forthcoming 2017. “A Survey of Quality Investing.”
MacLean, R. David, and Jeffrey Pontiff. 2015. “Does Academic Research Destroy Stock Return Predictability?” Journal of Finance, Forthcoming. Available at SSRN.
Novy–Marx, Robert, and Mihail Velikov. 2015. “A Taxonomy of Anomalies and Their Trading Costs.” Review of Financial Studies, vol. 29, no. 1:104–147.
Shumway, Tyler, and Vincent A. Warther. 1999. “The Delisting Bias in CRSP’s Nasdaq Data and Its Implications for the Size Effect.” Journal of Finance, vol. 54, no. 6 (December):2361–2379.