Under the paradigm of factor investing, we create a global factor allocation strategy using
country indexes and portfolio construction methodologies that are robust to estimation error …

We highlight herding of investors as one major risk factor that is typically ignored in statistical
approaches to portfolio modelling and risk management. Our survey focuses on smart-beta …

In this paper, we study a comprehensive set of risk premia of country equity returns for 45
countries over the sample period 2002-2018 in both a single and a multiple factor setting …

This paper aims to replicate 148 anomalies and to examine whether the performance of the
Korean market anomalies is statistically and economically significant. First, the authors …

Delve into ETFs for smarter investing and a weatherproof portfolio Beyond Smart Beta is the
investor's complete guide to index investing, with deep analysis, expert clarification and …

Purpose: This paper empirically analyses the performance of smart beta exchange traded
funds (ETFs) through the absolute return, relative return, and risk-adjusted return over the …

Japanese investors maybe considering adding emerging market (EM) equities to their
portfolios. What type of baseline EM exposure might be most suitable for Japanese …

The focus of this paper is on smart beta ETFs, which promise enhanced returns to investors.
The ability of smart beta ETFs to beat the market and offer material excess returns is …

This study compares the risk-adjusted performance of 10 single-factor (smart beta) and 75
multi-factor (advanced beta) portfolios over the period of 1992 to 2019. The emphasis is set …

Despite all the transparency initiatives, we witnessed that it could be hard for investors to
research current data and details about various indices. Some index providers lack …