Quantitative equity portfolio management combines theories and advanced techniques from
several disciplines, including financial economics, accounting, mathematics, and …

Of course, our proposal of an algorithm, or dynamic portfolio, as an index is a significant
departure from the norm. Existing indexes such as the S&P 500 are defined as baskets of …

We examine the consequences of short selling in the context of quantitative investment
strategies held by individual investors in taxable accounts. Short positions not only allow …

On average, net losses realized by direct indexing loss-harvesting strategies taper off within
the first few years after their inception. In our historical simulations, they reach a maximum …

Factor investing has emerged from the asset management world as the new paradigm for
long-term investment. It attracted fresh interest after the publication of a report on active …

Enhanced active equity strategies, including 120–20 and 130–30 long–short portfolios, have
become increasingly popular as managers and investors search for new ways to expand the …

The information coefficient (IC), the correlation between forecasted and realized return, is a
popular measure of signal quality. As shown in this article, variation in IC is an important …

An Empirical Analysis of 130/30 Strategies* Page 1 LEE MUNDER CAPITAL GROUP An
Empirical Analysis of 130/30 Strategies* Gordon Johnson, Shannon Ericson, Vikram Srimurthy …

In this study we propose a decomposition of the total tax benefit (or liability) of a strategy into
what we define as character and deferral components. Our decomposition is mathematically …

This article shows that extended mandates are especially effective for investors subject to
taxes. Not only is the portfolio more efficiently positioned from a before-tax perspective, but it …