### Is That Leverage in My Multi-Factor ETF?

This blog post is available as a PDF here. Summary The debate for the best way to build a multi-factor portfolio – mixed or inte...

### A shock to the covariance system

This blog post is available as a PDF here. Summary Mean-variance optimization assumes that you can fully describe the risks and ...

### High Yield Bond ETFs: Liquidity Time Bombs?

This blog post is available as a PDF here. Summary Many articles expounding upon the risks of ETFs that invest in illiquid assets ...

### High Capital Gains, Low Expected Returns: A Frustrating Combination

This blog post is available as a PDF here. Summary When carried through a traditional mean-variance optimization process, J.P. Mo...

Read more High Capital Gains, Low Expected Returns: A Frustrating Combination

## Capital Efficiency in Multi-factor Portfolios

This blog post is available as a PDF here. Summary The debate for the best way to build a multi-factor portfolio – mixed or inte...

Read more Capital Efficiency in Multi-factor Portfolios