Tag: diversification (Page 1 of 5)
Most multi-asset strategies are very concentrated in a few risk factors. Seeking broad diversification requires diving deeper than the name of the strategy.
We explore new evidence about interaction effects in composite-based multi-factor portfolios and look into FTSE Russell's Tilt-Tilt integrated approach.
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?
Managing Capital Market Assumption Risk
By Nathan Faber
On July 24, 2017