IDEAS home Printed from https://ideas.repec.org/a/taf/ufajxx/v70y2014i6p6-12.html
   My bibliography  Save this article

Investing in a Multidimensional Market

Author

Listed:
  • Bruce I. Jacobs
  • Kenneth N. Levy

Abstract

Many years ago, the authors demonstrated that there is much greater dimensionality to the stock market than is suggested by the one-factor capital asset pricing model. Investors today continue to underestimate the market’s dimensionality through their recent embrace of “smart beta” strategies. Such strategies assume a market in which a few chosen factors produce persistent returns. In reality, there are numerous factors that produce returns, which vary over time. Those returns can best be captured by a multidimensional approach that emphasizes diversification across many proprietary factors and continuous adjustment of exposures to those factors.

Suggested Citation

  • Bruce I. Jacobs & Kenneth N. Levy, 2014. "Investing in a Multidimensional Market," Financial Analysts Journal, Taylor & Francis Journals, vol. 70(6), pages 6-12, November.
    • Handle: RePEc:taf:ufajxx:v:70:y:2014:i:6:p:6-12
    DOI: 10.2469/faj.v70.n6.5
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.2469/faj.v70.n6.5
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.2469/faj.v70.n6.5?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:ufajxx:v:70:y:2014:i:6:p:6-12. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/ufaj20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.