Style investing
- Size Factor in Multifactor Portfolios: Does the Size Factor Still Have Its Place in Multifactor Portfolios?Mikheil Esakia, Felix Goltz, Ben Luyten and Marcel SibbeThe Journal of Index Investing November 2019, 10 (3) 38-57; DOI: https://doi.org/10.3905/jii.2019.1.078
- Seeking Alpha from Share RepurchasesAtreya Chakraborty, James L. Grant, Emery A. Trahan and Bhakti VarmaThe Journal of Investing November 2019, 29 (1) 61-79; DOI: https://doi.org/10.3905/joi.2019.1.104
- What Does Today’s Smile Imply About Future Volatilities?Riccardo RebonatoThe Journal of Derivatives November 2019, jod.2019.1.091; DOI: https://doi.org/10.3905/jod.2019.1.091
- Value by Design?Stephan Kessler, Bernd Scherer and Jan Philipp HarriesThe Journal of Portfolio Management November 2019, jpm.2019.1.122; DOI: https://doi.org/10.3905/jpm.2019.1.122
- A Closer Look at the Factor-to-Specific Risk Ratio in Factor PortfoliosJennifer Bender and Xiaole SunThe Journal of Portfolio Management November 2019, jpm.2019.1.117; DOI: https://doi.org/10.3905/jpm.2019.1.117
- Relative Strength over Investment Horizons and Stock ReturnsZhaobo Zhu, Xinrui Duan and Jun TuThe Journal of Portfolio Management October 2019, 46 (1) 91-105; DOI: https://doi.org/10.3905/jpm.2019.1.111
- Dynamic Strategy Migration and the Evolution of Risk PremiaDavid E. KuenziThe Journal of Portfolio Management October 2019, 46 (1) 74-90; DOI: https://doi.org/10.3905/jpm.2019.1.110
- Factor Investing in US Sovereign Bond Market: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability ManagementJean-Michel Maeso, Lionel Martellini and Riccardo RebonatoThe Journal of Portfolio Management October 2019, jpm.2019.1.115; DOI: https://doi.org/10.3905/jpm.2019.1.115
- Detecting Factor Risk in Private Asset ReturnsPeter Mladina and David MooreThe Journal of Portfolio Management October 2019, jpm.2019.1.113; DOI: https://doi.org/10.3905/jpm.2019.1.113
- Factor Investing in Corporate Bond Markets: Enhancing Efficacy Through Diversification and Purification!Thomas Heckel, Zine Amghar, Isaac Haik, Olivier Laplénie and Raul Leote de CarvalhoThe Journal of Fixed Income October 2019, jfi.2019.1.074; DOI: https://doi.org/10.3905/jfi.2019.1.074
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