Factor Investing & The Bets You Didn’t Mean to Make
Factor-based investment strategies seek to manage risk with diversification; completely unconstrained, however, they can be overwhelmed by unintended bets.
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Value 2.0
Traditional value strategies may be fundamentally flawed in their construction. Value 2.0 indices fix some of these problems, but not all.
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Are Market Implied Probabilities Useful?
Market-implied probabilities may apply for "typical households", but actual probabilities are more relevant to the unique goals and situations of investors.
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A Case Against Overweighting International Equity
Are relative valuations a good enough reason to overweight international equity exposure compared to U.S. equity exposure?
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The Frustrating Law of Active Management
We introduce the Frustrating Law of Active Management: For a strategy to outperform in the long run, it has to underperform in the short run.
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A Gentle Guide to Global Tactical Asset Allocation
An introduction to global tactical asset allocation ("GTAA") using systematic styles like value, momentum, carry, defensive and trend.
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Duration Timing with Style Premia
Can value, momentum, carry, and an explicit measure of the bond risk premium be used as methods for timing duration in a fixed income portfolio?
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Factors & Financial Planning
Factors are often discussed as a means to potential enhance portfolio return; but how should factors be combined when portfolio goals are considered?
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Do Factors Market Time?
Traditional academic equity factors exhibit time-varying beta exposure. Does this varying exposure imply returns from "market timing"?
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Can We Improve Sector Rotation?
Momentum-based sector rotation is a popular investment strategies. Can we introduce advancements in momentum investing to improve it?
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Navigating Municipal Bonds With Factors
We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.
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Factor Investing in Multi-Asset Portfolios
Factor investing is not limited it equities; it is a multi-asset concept. We present a case study of how we seek factors in our own multi-asset portfolios.
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Why quants don’t pick stocks
Why don't quants pick stocks? Quants prefer to look for broad characteristics where they can diversify away idiosyncratic risk.
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A Simulation-Based Rebuttal to Research Affiliates
Research Affiliates has published new research showing managers fail to capture theoretical factor returns. But is it their research method flawed?
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Did Declining Rates Actually Matter?
It is often said that the bond bull market of the last 30 years was fueled by declining interest rates: but how much did declining rates actually matter?
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The Curious Case of the Missing Credit Premium
Over the last 15 years, the ex-post credit premium has been non-existent. Are corporate bonds worth it or should be just invest in Treasuries?
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All About Factors & Smart Beta
A long-form presentation in which we explore factors (i.e. "smart beta"), covering both the basics of what they and more advanced topics of implementation.
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Diversification in Multi-Factor Portfolios
We explore new evidence about interaction effects in composite-based multi-factor portfolios and look into FTSE Russell's Tilt-Tilt integrated approach.
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Sector Rotation and the Momentum Factor
In this commentary we explore the connection between sector rotation and the momentum factor and ask whether sector rotation is meaningfully different.
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Anatomy of a Bull Market: Follow-Up
Drivers of equity returns vary depending on the time horizon we study. The impact of valuation changes diminishes as the time period is increased.
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