Factor Models in Finance

This lecture covers factor models and the Arbitrage Pricing Theory, mean-variance portfolio choice, the Sharpe's diagonal one-factor model, the discussion between APT and CAPM, the momentum anomaly, global size, value, and momentum factor performance, factors as asset characteristics, the Barra Europe Equity Model, the style factors, and the performance analysis of managed mutual funds. It also discusses the persistence of mutual fund performance, more return anomalies, such as the volatility and betting-against-beta anomalies, and the evidence on mutual fund performance persistence.