Long-only commodity futures returns have been very disappointing over the last decade,
leading some to wonder whether investing in commodities was a mistake. The poor …

This paper is the second of a two-part series that provides essential context for any serious
study of alternative risk premium (ARP) strategies. Practitioners uniformly emphasize the …

This article revisits recent literature on factor investing in government bonds, in particular
regarding the definition of value and defensive investing. Using techniques derived from …

Momentum is defined as the tendency of securities with good (poor) past performance to
overperform (underperform) in the future. It is one of the most pervasive anomalies ever …

This paper derives an optimal portfolio that is based on trend-following signal. Building on
an earlier related article, it provides a unifying theoretical setting to introduce an …

In this article, the author investigates expected return forecasting methodologies and their
application in an asset allocation context. Although present value model–related methods …

This thesis studies the implementation of the concept of the “carry trade” in equity markets
using data from 11 emerging economies over the period of 1999-2021. The period of 21 …

We show that the persistent style of European Monetary Union (EMU) bond portfolios
generates significant crowdedness in common factors—curve level and steepness. Despite …

Carry trade is a currency strategy that is very popular among both practitioners and
academics. For academics it has been very challenging for them explaining the returns of …

Recent research has shown that carry and trend strategies when combined lead to
significant risk-adjusted returns that can be very attractive to investors, at a low cost with …