Factor Models in Finance

This lecture delves into factor models in finance, exploring the Arbitrage Pricing Theory and the Fama-French model. It covers the concepts of mean-variance portfolio choice, size and value anomalies, and momentum strategies. The instructor discusses the performance of different factors, such as size, value, and momentum, and their impact on portfolio returns. The lecture also touches on the empirical evidence of active mutual fund performance and the use of factor models to measure fund performance. By examining various benchmarks and return factors, the lecture provides insights into smart beta strategies and return anomalies.