Hedge Fund Replication

• SEC 13F website (update 13F each mid FEB, MAY, AUG, NOV)
• 13F 45-day lagged replication research and backtest
• Related Research
  • Activists could improve the corporate governance

Factor Investing

• Size (Small minus big)
  • Fama-French 3 factor model (JFE 1993)
  • Fama-French 5 factor model (JFE 2015)
• Value (Value minus growth)
  • Fama-French 3 factor model (JFE 1993)
  • Fama-French 5 factor model (JFE 2015)
  • AQR alternative definition of Value (JPM 2013)
  • AQR Value and Momentum Everywhere (JF 2013)
  • Why there exists value premium? (JF 2005)
  • Why Value factor could be redundant? 
• Momentum (Up minus down)
  • Fama-French-Carhart size-value-momentum factor model (JF 1997)
• Quality
  • Investment (Low investment minus high)
    • q-factor model (RFS 2015)
  • Profitability (High ROE minus Low)
    • q-factor model (RFS 2015)
  • AQR’s quality minus junk
• Defensive (Low beta minus high)
  • Low beta minus high (JFE 2014)
  • Low correlation minus high
• Sentiment
  • Investor Sentiment and the Mean-Variance Relation (JFE 2011)
• Other factors
  • 437 type of factor investing comparison
• Evidence in China
  • Significant small minus big premium; limited equity premium and  value minus growth premium
• Data
  • French’s Dartmouth webpage
  • Cross-country size, value, momentum, defensive factor
  • Cross-country quality factor
  • Cross-country sentiment factor