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The Journal of Portfolio Management

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Dynamic Strategy Migration and the Evolution of Risk Premia

David E. Kuenzi
The Journal of Portfolio Management November 2019, jpm.2019.1.110; DOI: https://doi.org/10.3905/jpm.2019.1.110
David E. Kuenzi
is a senior portfolio manager and senior research scientist at AlphaSimplex Group, LLC in Cambridge, MA
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The Journal of Portfolio Management: 49 (4)
The Journal of Portfolio Management
Vol. 49, Issue 4
Multi-Asset Special Issue 2023
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Dynamic Strategy Migration and the Evolution of Risk Premia
David E. Kuenzi
The Journal of Portfolio Management Sep 2019, jpm.2019.1.110; DOI: 10.3905/jpm.2019.1.110

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Dynamic Strategy Migration and the Evolution of Risk Premia
David E. Kuenzi
The Journal of Portfolio Management Sep 2019, jpm.2019.1.110; DOI: 10.3905/jpm.2019.1.110
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  • Article
    • Abstract
    • DRIVERS OF THE PULL TOWARD BETA
    • A CONCEPTUAL FRAMEWORK FOR INVESTMENT MANAGERS AND INVESTORS
    • ANALYSIS OF 16 NAïVE RISK PREMIA STRATEGIES
    • OBSERVATIONS AND CONCLUSIONS
    • ADDITIONAL READING
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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