Category: Weekly Commentary (Page 3 of 21)
We explore the 'how' of our what-how-when framework of diversification and demonstrate the idea of "payoff diversification" with rebalancing and momentum.
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.
Diversification with Portable Beta
By Nathan Faber
On February 18, 2020