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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Anatomy of a Bull Market
Bull markets come in all shapes and sizes. We analyze historical market cycles on criteria such as duration, magnitude, velocity, and source of return.
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Market Timing with Value
Is it possible to perform market timing with value indicators? We explore a recently published AQR paper on the subject and highlight the salient points.
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Factor Rotation: Possible, but Worth It?
Can factor rotation strategies time the ebb and flow of factor returns to create excess return and avoid drag? If they can, is it worth it?
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The Ghost of GDP Past
Challenging demographic trends make it unlikely that future GDP growth can continue at a pace consistent with past experience.
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Is dividend investing dangerous?
Dividend investing has grown in popularity: but is it founded on solid ground or is it bound to fail? We explore high dividend yield and dividend growth.
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Should we celebrate rising rates?
Are rising rates something to fear or something to celebrate? In this post we explore the opportunities hidden in a rising rate environment.
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Momentum: Letting the Cheap Get Cheaper?
Can first-order effects of a momentum strategy help serve as a hedge to the potential sharpe repricing risks that occur in expensive market environments?
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Outperforming by Underperforming
Long-term outperformance and short-term underperformance are two sides of the same coin. The latter is necessary to achieve the former.
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Capital Efficiency in Multi-factor Portfolios
Are integrated multi-factor portfolios more capital efficient than their mixed peers? In this blog post, we prove this statement for some broad assumptions.
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Is That Leverage in My Multi-Factor ETF?
The debate rages on between the best way to build a multi-factor portfolio: mixed or integrated? Are integrated portfolios are more capital efficient?
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Are Stocks Actually Undervalued?
With investors reaching broad consensus that the market is overvalued, we explore the arguments for why the market may actually be undervalued.
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Low Volatility is Not Low Risk
Volatility and risk are often treated as the same thing, but low volatility ETFs have many risks that investors may not be aware of.
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Can Dividend (Swaps) Replace Bonds?
Can dividend swaps be used to replace bonds in a low interest rate world? Is the historical dividend risk premium sustainable going forward?
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Bond Returns: Don’t Be Jealous, Be Worried
This commentary is available as a PDF here. Summary Popular bond
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Multi-Factor: Mix or Integrate?
Which approach to building a multi-factor portfolio is best: mixed or integrated? The time-varying nature of factor premiums may be the key determinant.
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Tactical Trend-Following: Core or Alternative?
This blog post is available as a PDF here. Summary Answering whether
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Are bonds in a bubble?
Here are the slides from our most recent webinar: Are Bonds
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The two sources of outperformance
  This blog post is available for download here. Summary
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