diversification Archives | Flirting with Models

Most multi-asset strategies are very concentrated in a few risk factors. Seeking broad diversification requires diving deeper than the name of the strategy.

Diversification in Multi-Factor Portfolios

By Corey Hoffstein

On March 20, 2017

We explore new evidence about interaction effects in composite-based multi-factor portfolios and look into FTSE Russell's Tilt-Tilt integrated approach.

Momentum: Letting the Cheap Get Cheaper?

By Corey Hoffstein

On November 14, 2016

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?