Tag: factors (Page 1 of 3)
We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.
Why don't quants pick stocks? Quants prefer to look for broad characteristics where they can diversify away idiosyncratic risk.
Research Affiliates has published new research showing managers fail to capture theoretical factor returns. But is it their research method flawed?
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.
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?