This paper investigates the impact of ESG integration on systematic factors in Australia.
While excluding non-rated stocks leads to inferior performance, simultaneously exploiting …

This article examines real estate's role in institutional mixed‐asset portfolios using both
private‐and public‐real estate indices, as a means of examining varying real estate‐related …

Using a comprehensive sample of 164 domestic equity Smart Beta (SB) ETFs during 2003-
2014 period, I analyze whether these funds beat their benchmarks by tilting their portfolios to …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

This study examines the profitability of the mixing and integrating approach for constructing
multi-factor smart beta portfolios. While most studies explore this issue in a US market …

Volatilitas harga saham menjadi isu yang menarik untuk diteliti bahwasanya salah pilih
saham saat berinvestasi saham akan mengakibatkan kerugian yang besar. Teori portofolio …

Current cryptocurrency indices are generally capitalization-or volume-weighted, assigning
heavy weights to leading coins like Bitcoin. Such indices offer limited risk diversification and …

Index funds that track a benchmark, such as the market cap-weighted S&P 500 index, tend
to have portfolio holdings biased towards slower-growth large-cap equities that result in the …

Quantitative equity management techniques are helping investors achieve more risk efficient
and appropriate investment outcomes. Factor investing, vetted by decades of prior and …

The hedge effectiveness of the credit default swap (CDS) indices is analyzed. Starting with
the CDS eligible for inclusion in the indices, CDX. NA. IG, CDX. NA. HY, iTraxx Europe and …