Table of Contents

Quantitative Special Issue 2020; Volume 46,Issue 2

Introduction: Quantitative Strategies: Factor Investing

A Closer Look at the Factor-to-Specific Risk Ratio in Factor Portfolios

Value by Design?

  • Value by Design?
    Stephan Kessler, Bernd Scherer and Jan Philipp Harries
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 25-43; DOI: https://doi.org/10.3905/jpm.2019.1.122

The Volatility Effect Revisited

  • The Volatility Effect Revisited
    David Blitz, Pim van Vliet and Guido Baltussen
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 45-63; DOI: https://doi.org/10.3905/jpm.2019.1.114

The Effects of Portfolio Construction on the Performance of Style Factor ETFs or How to Build a Style Factor ETF That Does What It Says on the Tin

Consistent and Efficient Dynamic Portfolio Replication with Many Factors

The Market Risk of Corporate Bonds

  • The Market Risk of Corporate Bonds
    Marielle De Jong and Frank J. Fabozzi
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 92-105; DOI: https://doi.org/10.3905/jpm.2019.1.120

Sources of Excess Return and Implications for Active Fixed-Income Portfolio Construction

Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management

Factor Investing in Currency Markets: Does It Make Sense?

  • Factor Investing in Currency Markets: Does It Make Sense?
    Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli and Jiali Xu
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116

Detecting Factor Risk in Private Asset Returns

Back to top

Explore our content to discover more relevant research

In this issue

The Journal of Portfolio Management: 46 (2)
The Journal of Portfolio Management
Vol. 46, Issue 2
Quantitative Special Issue 2020
Sign up for alerts