Tag: smart beta (Page 1 of 3)
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.
We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.
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.
The Dumb (Timing) Luck of Smart Beta
By Corey Hoffstein
On November 18, 2019