Tag: value (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.
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.
We visualize the anxiety caused by relative performance of several popular factor tilts in comparison to standard market benchmarks.
Is it possible to perform market timing with value indicators? We explore a recently published AQR paper on the subject and highlight the salient points.