Analysis of individual factors/risk premia
- Is ESG an Equity Factor or Just an Investment Guide?André Breedt, Stefano Ciliberti, Stanislao Gualdi and Philip SeagerThe Journal of Investing January 2019, 28 (2) 32-42; DOI: https://doi.org/10.3905/joi.2019.28.2.032
- Multi-Factor Portfolios: A New Factor? Limits of the Static ApproachCarmine de Franco and Bruno MonnierThe Journal of Investing January 2019, 28 (1) 97-111; DOI: https://doi.org/10.3905/joi.2019.28.1.097
- Fact, Fiction, and the Size EffectRon Alquist, Ronen Israel and Tobias MoskowitzThe Journal of Portfolio Management October 2018, 45 (1) 34-61; DOI: https://doi.org/10.3905/jpm.2018.1.082
- Short-Horizon Beta or Long-Horizon Alpha?Avraham Kamara, Robert Korajczyk, Xiaoxia Lou and Ronnie SadkaThe Journal of Portfolio Management October 2018, 45 (1) 96-105; DOI: https://doi.org/10.3905/jpm.2018.45.1.096
- Accessing the China A-Shares Market via Minimum-Variance InvestingAlex Chen, Eddie Pong and Yang WangThe Journal of Portfolio Management October 2018, 45 (1) 106-117; DOI: https://doi.org/10.3905/jpm.2018.45.1.106
- Using Fundamental Earnings Factors to Forecast Equity Market VolatilityHaim A. Mozes and John Launny SteffensThe Journal of Trading October 2018, 13 (4) 14-19; DOI: https://doi.org/10.3905/jot.2018.13.4.014
- Tail Risk in the Cross Section of Alternative Risk Premium StrategiesNick Baltas and Bernd SchererThe Journal of Portfolio Management December 2018, 45 (2) 93-104; DOI: https://doi.org/10.3905/jpm.2018.45.2.093
- Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?Jennifer Bender, Jerry Le Sun and Ric ThomasThe Journal of Portfolio Management December 2018, 45 (2) 9-22; DOI: https://doi.org/10.3905/jpm.2018.45.2.009
- Multi-Asset Volatility Premiums or Anomalies?Brian Jacobsen, Eddie Cheng and Wai LeeThe Journal of Portfolio Management December 2018, 45 (2) 47-57; DOI: https://doi.org/10.3905/jpm.2018.45.2.047
- The Three-Factor Hedging Strategy for Mortgage Pass-Through Securities: Empirical EvidenceEmory E. Ruscus, Frank J. Fabozzi and Glenn SchultzThe Journal of Fixed Income December 2018, 28 (3) 55-67; DOI: https://doi.org/10.3905/jfi.2018.1.066
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