Table of Contents

May 2021; Volume 47,Issue 6

The Quant Crisis of 2018–2020: Cornered by Big Growth

Real Economy Portfolio: The Market Risk Premium as a Source of Alpha

Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns

Financial Anomalies in Portfolio Construction and Management

Value and Interest Rates: Are Rates to Blame for Value’s Torments?

Bridging the Gap between Strategic Allocation and Investment Risk

Diversifying Diversification: Downside Risk Management with Portfolios of Insurance Securities

Optimal Strategies for ESG Portfolios

  • Optimal Strategies for ESG Portfolios
    Fabio Alessandrini and Eric Jondeau
    The Journal of Portfolio Management May 2021, 47 (6) 114-138; DOI: https://doi.org/10.3905/jpm.2021.1.241

Beta Instability and Implications for Hedging Systematic Risk: Takeaways from the COVID-19 Crisis

Volatility Targeting: The Bridge Between Options-Based and Traditional Defensive Strategies

Foreign Revenue: A New World of Risk Exposures

Calculating Outperformance in Dollars: Introducing the Excess Value Method

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