Using data on 1,312 active US equity mutual funds with $3.9 trillion in assets under
management, we analyzed the link between funds' bottom-up, holdings-based …

Abstract Environmental, Social, and Governance (ESG) signals are an important part of
factor-based investing strategies as they can stem from the same economic rationales as …

The main idea of this article is to approach and compare factor and asset allocation
portfolios using both traditional and alternative allocation techniques: inverse variance …

The cryptocurrency market is understood as being more volatile than traditional asset
classes. Therefore, modeling the volatility of cryptocurrencies is important for making …

The purpose of the article is to define the material, institutional, and intellectual infrastructure
of a region and identify the innovative processes that determine its creation. Our main …

Market-cap-weighted equity indexes are ubiquitous. However, there are growing concerns
that such indexes are increasingly concentrated in a few stocks. We ask: Does market-cap …

This article observes the impact of the largest public firm in a country, especially focusing on
the case when the largest firm is disproportionately large. Although the size factor of stock …

We present a model based on trend filtering and regularization for performing factor
analysis. Furthermore, the trend filtering method proposed in our model allows incorporating …

Financial indices are playing an increasingly important role. Trillions of euros of assets
under management of financial products are linked to them, and this continues to rise. They …

While stock/bond indices, index tracking funds and ETFs have grown in popularity during
then last ten years, there are many structural problems inherent in index calculation …