Preface
In the aftermath of the global financial meltdown of 2008, the accuracy of the quant models of Collateralized Debt Obligations (CDOs) was called into question and many of the quants who created these models and worked for the major banks were downsized. At the same time, another type of quant model, the multifactor equity model, and its creators were thriving within the equity management departments at hundreds of buy-side firms and hedge funds.
The basis of the multifactor models is the equity market anomaly research carried out and published by professors of finance and accounting at graduate schools of business throughout the world over the past 20 years. Since 2000, the number of anomaly related academic papers has grown so quickly that it is now almost impossible for any one person to keep up with the full scope of this research. In parallel with this explosion of anomaly research and its use by professional investors, individual investors also began to create their own multifactor quant models to manage their own portfolios.
Consequently, I felt that there was a need for a single volume that summarized the academic research that is the foundation of multifactor models and provided guidance to individual investors interested in creating and using these models in their own portfolios, and so the idea for this book was born.
Although I have followed the anomaly literature for decades, I did not know quite what to expect when I began to ask academics if they were interested ...
