Stock price movements are interesting to discuss, because from these price movements
investors will get capital gains. Problems arose, however, when Covid-19 hit the world …

Traditionally, passive portfolios are structured using an easy to implement market
capitalization method albeit highly skewed towards large cap stocks. The introduction of …

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 …

At the outset, smart beta was conceived as a response to two drawbacks of broad-market,
capitalization-weighted (hereafter, market-cap) indices. The first drawback is that such …

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 …

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 …

This study examines the portfolio-diversification benefits of listed infrastructure stocks. We
employ three different definitions of listed infrastructure and tests of mean–variance …

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, the authors compare different approaches for constructing multifactor equity
portfolios: bottom-up score-weighting approaches that target high-factor intensity and top …

We employ a methodology to construct multi-beta multi-strategy (MBMS) indices for the
Brazilian equity market that can diversify the exposure to multiple rewarded risk factors and …