Technical paper/Factor investing
A factor-based risk model for multifactor investment strategies
This paper presents a novel, practical approach to risk management for multifactor equity investment strategies.
Factor investing: get your exposures right!
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The authors discuss the question of multifactor portfolio construction and show that the simplistic approaches often used by practitioners tend to be…
Equal risk allocation with carry, value and momentum
The authors of this paper analyze an equal-weight portfolio of global cross-asset-class risk factor exposures.