Stock price movements are interesting to discuss, because from these price movements
investors will get capital gains. Problems arose, however, when Covid-19 hit the world …

We dissect the realized performance of factor-based equity portfolios using a characteristics-
based multi-factor return model. We show that generic single-factor portfolios, which invest …

Investors interested in factor investing often seek exposure to several factors, not just one or
two. The decision on how to implement multiple exposures may have a considerable effect …

As smart beta investments in institutional portfolios have grown—along with the additional
complexity introduced by multifactor approaches—there is an emerging need for guidance …

Despite extensive research support, the role of diversification in current factor investing
strategies remains neglected. This paper investigates whether well-designed multifactor …

In this article, the authors contrast the claims of promoters of “bottom-up” approaches for
constructing multi-factor equity portfolios with relevant findings in the academic literature. In …

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 …

This paper examines how to combine single factors into a multifactor portfolio of corporate
bonds. The two most common approaches in the literature are the so-called 'integrated'and …

This thesis examines the risk and return characteristics of different long-only and long-short
smart beta strategies in the German stock markets. The aim of this thesis is to explore the …

Executive summary Factor strategies differ significantly in terms of portfolio construction.
There is much debate regarding the pros and cons of alternative construction approaches. A …