Lecture
This lecture explores factor investing, focusing on the performance of value and growth stocks using the HML factor, the performance of small and big stocks using the SMB factor, and the momentum anomaly. It delves into the construction of factor portfolios, the information ratios, and the optimal portfolio weights. The lecture also discusses the Fama-French three-factor model, the UMD momentum factor, and the performance of market, HML, SMB, and UMD factors since 1927. Additionally, it covers the interpretation of one-factor and four-factor benchmarks, the evaluation of fund performance, and the growth of the mutual fund industry.