The Journal of Portfolio Management

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Value by Design?
Stephan Kessler, Bernd Scherer and Jan Philipp Harries

The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.122; DOI: https://doi.org/10.3905/jpm.2019.1.122

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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
Jason MacQueen

The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.121; DOI: https://doi.org/10.3905/jpm.2019.1.121

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The Market Risk of Corporate Bonds
Marielle De Jong and Frank J. Fabozzi

The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.120; DOI: https://doi.org/10.3905/jpm.2019.1.120
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Sources of Excess Return and Implications for Active Fixed-Income Portfolio Construction
Stephen Laipply, Ananth Madhavan, Aleksander Sobczyk and Matthew Tucker

The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.119; DOI: https://doi.org/10.3905/jpm.2019.1.119

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A Closer Look at the Factor-to-Specific Risk Ratio in Factor Portfolios
Jennifer Bender and Xiaole Sun

The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.117; DOI: https://doi.org/10.3905/jpm.2019.1.117
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Consistent and Efficient Dynamic Portfolio Replication with Many Factors
Lars Stentoft and Sha Wang

The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.118; DOI: https://doi.org/10.3905/jpm.2019.1.118

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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, jpm.2019.1.116; DOI: https://doi.org/10.3905/jpm.2019.1.116

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The Volatility Effect Revisited
David Blitz, Pim van Vliet and Guido Baltussen

The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.114; DOI: https://doi.org/10.3905/jpm.2019.1.114
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Factor Investing in US Sovereign Bond Market: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management
Jean-Michel Maeso, Lionel Martellini and Riccardo Rebonato

The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.115; DOI: https://doi.org/10.3905/jpm.2019.1.115
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Detecting Factor Risk in Private Asset Returns
Peter Mladina and David Moore

The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.113; DOI: https://doi.org/10.3905/jpm.2019.1.113