Analysis of individual factors/risk premia
- The Tracking Efficiency of Physical and Synthetic Equity Index ETFsDaniel Broby and Oliver SpenceThe Journal of Index Investing November 2020, 11 (3) 34-47; DOI: https://doi.org/10.3905/jii.2020.1.097
- Is (Systematic) Value Investing Dead?Ronen Israel, Kristoffer Laursen and Scott RichardsonThe Journal of Portfolio Management November 2020, jpm.2020.1.194; DOI: https://doi.org/10.3905/jpm.2020.1.194
- Resurrecting the Value PremiumDavid Blitz and Matthias X. HanauerThe Journal of Portfolio Management November 2020, jpm.2020.1.188; DOI: https://doi.org/10.3905/jpm.2020.1.188
- Portfolio Optimization Using Factor Scores as Constraints—Factor Constrained Portfolio Optimization ApproachTeo Jašić, Stoyan Stoyanov and Dubravko ŠtimacThe Journal of Portfolio Management November 2020, jpm.2020.1.189; DOI: https://doi.org/10.3905/jpm.2020.1.189
- Settling the Size MatterDavid Blitz and Matthias X. HanauerThe Journal of Portfolio Management November 2020, jpm.2020.1.187; DOI: https://doi.org/10.3905/jpm.2020.1.187
- Value Investing for CommoditiesThijs Markwat, Jelmer Quist and Casper ZomerdijkThe Journal of Alternative Investments September 2020, 23 (2) 127-140; DOI: https://doi.org/10.3905/jai.2020.1.107
- Carry and Time-Series Momentum: A Match Made in HeavenMarat Molyboga, Junkai Qian and Chaohua HeThe Journal of Alternative Investments September 2020, 23 (2) 84-93; DOI: https://doi.org/10.3905/jai.2020.1.106
- Predicting Future Yields and Risk Premia: The Blue-Dot Affine ModelRiccardo Rebonato and Riccardo RonzaniThe Journal of Fixed Income September 2020, 30 (2) 5-21; DOI: https://doi.org/10.3905/jfi.2020.1.099
- The Case for Factor Investing in China A SharesDaniel Fang and Diana Olteanu-VeermanThe Journal of Index Investing August 2020, 11 (2) 76-91; DOI: https://doi.org/10.3905/jii.2020.1.093
- A Network Approach to Analyzing Hedge Fund ConnectivityGueorgui S. Konstantinov and Joseph SimonianThe Journal of Financial Data Science July 2020, 2 (3) 55-72; DOI: https://doi.org/10.3905/jfds.2020.1.036
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