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Journal Article

Craftsmanship Alpha: An Application to Style Investing

What may seem like inconsequential design decisions can actually matter a lot for style portfolios. In fact, the skillful targeting and capturing of style premia may constitute a form of alpha on its own—one we refer to as “craftsmanship alpha.”

Working Paper

Implementing Momentum: What Have We Learned?

We use seven years of live data to evaluate the implementability of momentum investing.

White Paper

Measuring Factor Exposures: Uses and Abuses

A growing number of investors have come to view their portfolios (especially equity portfolios) as a collection of exposures to risk factors.

White Paper

Building a Better Deep Value Portfolio: Difficulties Mastered are Opportunities Won

Opportunistic contrarian investing is appealing to many investors, but challenging to implement. We think deep value is best approached by pairing discretionary expertise with a quantitative framework.

Trade Publication

Measuring Portfolio Factor Exposures: A Practical Guide

Regression analysis can help investors better understand the risk factors present in their portfolios, which has multiple benefits.

DC Solutions

Risk Parity in Target-Date Funds

Target-date funds (TDF) have a few shortcomings, but we believe that implementing risk parity as a sleeve within a TDF can help—by potentially enhancing returns, mitigating risk and reducing portfolio drawdowns.

Journal Article

Exploring Macroeconomic Sensitivities

Forecasting economic and market conditions is no easy task.