To improve the robustness of their portfolio, asset owners can either exploit the imperfect correlation between risk factors and try to have a more balanced or deconcentrated allocation to them or…
Factor allocation decisions are becoming a prominent consideration for factor investors. Which factors to allocate to, and in what magnitude, has a significant impact on investment outcomes and…
The dramatic underperformance of the value premium since 2018, among the largest drawdowns in history, has led many to question its existence. It is certainly possible that what economists call a “…
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