Month: June 2017
Most multi-asset strategies are very concentrated in a few risk factors. Seeking broad diversification requires diving deeper than the name of the strategy.
Factors are often discussed as a means to potential enhance portfolio return; but how should factors be combined when portfolio goals are considered?
Traditional academic equity factors exhibit time-varying beta exposure. Does this varying exposure imply returns from "market timing"?
Duration Timing with Style Premia
By Corey Hoffstein
On June 26, 2017