This paper proposes a factor tracking strategy that minimizes the variance of the difference
in returns between a target portfolio and return-driving factors. We establish and solve single …

This paper fundamentally looks at the novel concept of Smart Beta investing in constructing
a more efficient and well-diversified alternative investment. Smart beta has been a popular …

Simple trend-following strategies have been documented as cost-effective, transparent
alternatives to the hedge-fund style managed futures strategies. Although largely capturing …

Investors are increasingly interested in portfolios that are not cap-weighted and that give
exposure to specific factor premiums, which we call smart beta portfolios. In this article, we …

Risk taking is described as an integral part of financial services. For micro-financing in
particular, engaging in proactive risk taking is essential to their viability and long term …

Approaches to quantitative equity investing have evolved markedly. Thirty years ago, the
focus was on alpha generation, but with the recent decade's acceptance of smart …