Forecasting the evolution of security co-movements is critical for asset pricing and portfolio
allocation. Hence, we investigate patterns and trends in correlations over time using weekly …

Recent academic papers and practitioner publications suggest that equal-weighted
portfolios (or 1/N portfolios) appear to outperform various other portfolio strategies. In …

Stock selection in active portfolio management is a critical task if one wishes to outperform
the market. Many research efforts have been made to profitably pick stocks and create …

We investigate two popular approaches to long-only style investing that are often considered
as potential starting points for smart beta investors: the “portfolio mix” that builds a style …

A recent survey (the EDHEC European ETF Survey 2013 by Ducoulombier et al.[2014])
reveals that although only 30% of investment professionals already use products tracking …

In this article, the authors (re) introduce mean–variance portfolio construction for factor
portfolios. These models, first popular with quants in the 1990s, are being resurrected today …

This paper provides evidence of the existence of diversification benefits in international
stock markets when oil producing countries are included in a global portfolio. Moreover, it …

This paper analyses smart beta ETF performance and provides the first evidence on the
funds' performance persistence. Our sample is comprised of 152 US equity smart beta ETFs …

Monkey portfolio proponents argue that all smart beta strategies generate positive value and
small-cap exposure, which fully explains their outperformance. They also claim that similar …

In this article, we consider smart beta indexing, which is an alternative to capitalization-
weighted (CW) indexing. In particular, we focus on risk-based (RB) indexing, the aim of …