Analysis of individual factors/risk premia
- What’s in Your Benchmark? A Factor Analysis of Major Market IndexesAnanth Madhavan, Aleksander Sobczyk and Andrew AngThe Journal of Index Investing August 2018, 9 (2) 66-79; DOI: https://doi.org/10.3905/jii.2018.9.2.066
- Editor’s LetterBrian R. BruceThe Journal of Index Investing August 2018, 9 (2) 1-2; DOI: https://doi.org/10.3905/jii.2018.9.2.001
- A Tale of Two Low Volatility IndexesPhillip Brzenk and Aye M. SoeThe Journal of Index Investing August 2017, 8 (2) 95-107; DOI: https://doi.org/10.3905/jii.2017.8.2.095
- Less Volatile Portfolios: Strength through SimplicityJoe Staines, Steven (Yegang) Wu, Wei (Victor) Li and Yazann RomahiThe Journal of Index Investing August 2017, 8 (2) 89-94; DOI: https://doi.org/10.3905/jii.2017.8.2.089
- What Is Missing in Common Minimum Volatility
Strategies? The Ignored Impact of Currency RiskNick Alonso and Mark BarnesThe Journal of Index Investing August 2017, 8 (2) 77-88; DOI: https://doi.org/10.3905/jii.2017.8.2.077 - Managing Risks Beyond VolatilityMehdi Alighanbari, Stuart Doole and Dimitris MelasThe Journal of Index Investing August 2017, 8 (2) 68-76; DOI: https://doi.org/10.3905/jii.2017.8.2.068
- Interest Rate Exposure of Volatility PortfoliosCarmine De Franco, Bruno Monnier and Ksenya RulikThe Journal of Index Investing August 2017, 8 (2) 53-67; DOI: https://doi.org/10.3905/jii.2017.8.2.053
- U.S. Low and Minimum Volatility Indexes: An Empirical
Analysis of Factor ExposureDana M. D’Auria and John B. McDermottThe Journal of Index Investing August 2017, 8 (2) 39-52; DOI: https://doi.org/10.3905/jii.2017.8.2.039 - Editor’s LetterBrian R. BruceThe Journal of Index Investing August 2017, 8 (2) 1; DOI: https://doi.org/10.3905/jii.2017.8.2.001
- Tracking the VIXAthanasios FassasThe Journal of Index Investing May 2017, 8 (1) 76-91; DOI: https://doi.org/10.3905/jii.2017.8.1.076
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