Factor portfolios with value, size, momentum, profitability, and low volatility stocks have
historically exhibited high returns after adjusting for market risk. As the weights of these portfolios …

As index investing continues to grow, we are witnessing an expansion of what the beta
continuum encompasses. Since the financial crisis, during which market-capitalization strategies …

The shift to defined contribution (DC) plans as a primary retirement vehicle is increasingly a
global phenomenon. A trend that originated in the corporate and tax-exempt marketplaces, it …

In traditional life-cycle models, the equity-bond glide path shifts investment allocation from
riskier assets to relatively safer assets as investors approach retirement. In this article, we …

Eligible investors seeking factor exposures may have a choice of different investment
vehicles to implement an investment strategy, ranging from fully transparent, index-based …

… Special Issue of The Journal of Portfolio Management, Jack Davies, Dave Gibbon, Sara Shores,
and Josephine Smith (all of BlackRock, Inc.) investigated the differences in … Sara Shores …

We develop a methodology to estimate dynamic factor loadings using cross-sectional risk
characteristics. Applying it to a dataset of US-domiciled mutual funds, we distinguish the …

Human capital is the largest asset for many investors, yet its risks and impact on portfolio
choice are often poorly understood. This paper explores human capital risk at the level of …

We customize factor attribution for quantitative equity portfolios to better align the measurement
of factor returns with how factor tilts were taken on. Specifically, we provide a theoretical …

Stable isotopes were used to examine the origin of organic matter in Icelandic Ascophyllum-based
habitats, the role of different organic matters in filling intertidal food webs and the food …