Category: Portfolio Construction (Page 3 of 10)
Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other.
We explore the 'how' of our what-how-when framework of diversification and demonstrate the idea of "payoff diversification" with rebalancing and momentum.
The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.
In this research note we explore how performance for smart beta portfolios has been impacted by rebalance timing luck over the last two decades.
Ensembles and Rebalancing
By Corey Hoffstein
On February 24, 2020