Practical analysis for investment professionals

Factor Investing


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?

Factor Performance: Will the Comeback Persist?

The relative outperformance of equity risk factors was one of 2022's rare bright spots.



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