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 …

A wide body of academic literature suggests that macro factors can be significant drivers of
asset returns. And among practitioners, statements such as “stocks make money in …

Global tactical asset allocation (GTAA) has rarely been associated with tax-aware investing.
Although GTAA can improve returns over a buy-and-hold strategy, more tactical trading …

Carry, value, and momentum are the trinity of systematic investing. As signals, it is important
to know what they signify and how to interpret the signals. What is the cost of delay? How …

In 2003, at the NMS Endowments and Foundations Conference, Peter Bernstein suggested
that policy portfolios are overused, leading to excessive tracking-error constraints. In a 2004 …

Case studies are potential research strategies used in the accounting field. Experts heve
argued that case study research design has been used both in interpretivism and positivism …

In this paper, the performance of systematic fundamental and momentum driven strategies in
the US equity markets is analyzed. We evaluate the performance by backtesting long/short …

The optimal asset allocation is an ever current matter for investment managers. This thesis
aims to investigate the impact of risk parity and target volatility on the Sharpe ratio of a …

Rozwój teorii finansów, wzrost możliwości technologicznych oraz rosnące świadomość i
oczekiwania inwestorów powodują stałą ewolucję podejścia do zarządzania portfelem …

Prezenta opinie prezintă câteva dintre analizele evoluției şi gestiunii piețelor financiare
(acțiuni şi obligațiuni) pentru a oferi un cadru decizional pentru „investitorul inteligent” …