While it is often argued that allocation decisions can be best expressed in terms of exposure
to rewarded risk factors, as opposed to somewhat arbitrary asset class decompositions, the …

It is widely acknowledged that asset returns are driven by common sources of risk,
especially in challenging times when the benefits from traditional portfolio diversification fail …

Embracing the concept of factor investing, we design a flexible framework for building out
different factor completion strategies for traditional multi-asset allocations. Our notion of …

The digital transformation is creating a need for mass customization of tactical asset
allocation (TAA). Asset managers publish TAA qualitative views regularly. However, the …

The question of how to diversify an investment portfolio is one with many possible answers.
Over the past couple of years, the industry and academic literature have been shifting focus …

Uniform budgeting in risk budgeting (RB), which results in risk parity (RP), can be sub-
optimal in the case where assets are correlated. In particular, it may lead to solutions with …

In this article, the authors estimate the level of risk diversification for a universe of US equity
exchange-traded funds (ETFs) and observe the benefits of diversification for the budgeting …

Relying on the structural vector autoregression developed by Cieslak and Pang, the authors
identify four shocks to the US economy based on the US Treasury yield curve and the stock …

In this paper, the possibility of using fundamental weighting as a tool to intentionally tilt a
portfolio toward specific and unobservable risk factors in the illiquid and undeveloped …

Less than half of all US households have some form of retirement assets. Advisors who fail
to use alternative investment strategies may not accumulate enough retirement assets for …