Practical analysis for investment professionals

Factor Investing


Implementation Shortfalls Hamstring Factor Strategies

Smart rebalancing rules help portfolio managers capture more of the return that is inherent in their factor strategies. Concentrating on “priority best” trading improves factor portfolio performance.

Climate Transition Risk in European Equity Markets

How can investors assess climate transition risk in their portfolios?

The Low-Volatility Factor and Occam’s Razor

Will the low-volatility premium continue to be the best-kept secret in financial markets?

A More Robust Macro Risk Targeting Strategy for Equities

"It is possible to construct equity portfolios that possess out of sample exposure that facilitate more precise targeting of levels of macroeconomic risk exposure."

How to Build Better Low Volatility Equity Strategies  

Not all low volatility strategies are created equal. Many lack the diversification and risk control needed to guard against concentration and macro risk.

Research and Policy Center Five Most Popular Articles of 2023: Capital Markets

What are the most popular top five articles of 2023 published under the Capital Markets theme by the CFA Institute Research and Policy Center?

Harvesting Equity Premia in Emerging Markets: A Four-Step Process

There is hope for investors seeking a robust emerging market equity strategy to complement their other equity investments.

Why Equity Factors? A 4×4 Goal-Based Perspective

The 4×4 Asset Allocation philosophy approaches every asset or strategy based on how it contributes to — or detracts from — Growth, Income, Preservation, and Liquidity. So, what does a goal-based approach to equity factors actually look like from this perspective?

Does Bond Market Data Yield Equity Alpha?

Equity portfolios constructed using bond momentum signals may outperform their traditional equity price momentum counterparts.

Factor Portfolios and Cap-Weighted Benchmarks: Bridging the Tracking Error Gap

Can we retain the benefits and economically sound basis of a factor approach to equity investing while more closely aligning a factor portfolio’s performance to a cap-weighted benchmark?



By continuing to use the site, you agree to the use of cookies. more information

The cookie settings on this website are set to "allow cookies" to give you the best browsing experience possible. If you continue to use this website without changing your cookie settings or you click "Accept" below then you are consenting to this.

Close