Evolving Factor Models in Investment Strategies

This chapter explores the integration of academic research into investment processes, particularly focusing on factor models and their historical significance. It discusses the evolution of these models from the 1980s, addressing the needs of institutions for small-cap stocks, and highlights crucial factors like momentum and profitability that emerged over time. Additionally, the chapter examines the challenges faced in developing small-cap indices and the refinement of investment strategies through rigorous research and data analysis.