Flirting with Models

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Tag: smart beta (Page 1 of 3)

Separating Ingredients and Recipe in Factor Investing

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On May 21, 2018

Factor portfolio construction has two key elements: ingredients (the signals used to pick investments) and recipe (the rules used to translate those signals into allocations). While the ingredients often get the most focus, the recipe can have just as large of an impact on returns.

Navigating Municipal Bonds With Factors

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On May 15, 2017

We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.

A Simulation-Based Rebuttal to Research Affiliates

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On April 17, 2017

Research Affiliates has published new research showing managers fail to capture theoretical factor returns. But is it their research method flawed?

All About Factors & Smart Beta

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On March 27, 2017

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.

Diversification in Multi-Factor Portfolios

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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.

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While other asset managers focus on alpha, our first focus is on managing risk.

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