Category: Risk & Style Premia (Page 3 of 16)
Managed futures strategies have historically provided meaningful positive returns during left-tail equity events, but will the strategy work next time?
Value's recent under-performance has many managers saying that the style looks cheap. We explore the value-of-value through the lens of multiple metrics.
In this research note, we implement a regression-based and optimized-based approach to achieving pure factor portfolios and report the results achieved.
In this piece, we briefly explore whether model specification choices can be timed using momentum within the context of a naïve trend strategy.
Diversification with Portable Beta
By Nathan Faber
On February 18, 2020