Tag: value (Page 1 of 4)
Factors are often discussed as a means to potential enhance portfolio return; but how should factors be combined when portfolio goals are considered?
Traditional academic equity factors exhibit time-varying beta exposure. Does this varying exposure imply returns from "market timing"?
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?
Duration Timing with Style Premia
By Corey Hoffstein
On June 26, 2017