The relationship between stock and bond returns is a fundamental determinant of risk in
traditional portfolios. For the first two decades of the 21st century, the stock–bond correlation …

Despite theoretical and intuitive reasons for a credit risk premium, past research has found
little supporting empirical evidence. This is primarily due to biases in computing credit …

Elevate your game in the face of challenging market conditions with this eye-opening guide
to portfolio management Investing Amid Low Expected Returns: Making the Most When …

There is a consensus that equity factors are cyclical and depend on macroeconomic
conditions. To build well-diversified portfolios of factors, one needs to account for the fact …

Factor‐based allocation embraces the idea of factors, as opposed to asset classes, as the
ultimate building blocks of investment portfolios. We examine whether there is a superior …

In this paper we investigate and evaluate factor investing in the US and Europe for equities
and bonds. We show that factor‐based portfolios generally produce comparable or better …

This paper presents a practical investment framework for dynamic asset allocation strategies
based on changes in the macro-environment. To identify economic regimes, we use macro …

International diversification has hurt US-based investors for over 30 years, but the long-run
case for it remains relevant. Both financial theory and common sense favor international …

In portfolio models, the depiction of future outcomes depends upon a representative
accounting of economic conditions. There is much evidence that crash periods display much …

Factor investing has been around for several decades, backed by an enormous body of
literature, and yet it is still surrounded by much confusion and debate. Some of the rhetoric …