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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.

Journal Article

Exploring Macroeconomic Sensitivities

Forecasting economic and market conditions is no easy task.

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.”

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.