Equity factor premiums have been extensively researched and documented. Due to rapid
advancements in smart beta product offerings in recent years, exposure to premiums …

The multifactor investing framework has become very popular in the indexing community.
Both academic and practitioner researchers have documented hundreds of equity factors …

Although hidden, the implicit market impact costs of factor investing may substantially erode
a strategy's expected excess returns. The rebalancing data of a suite of large and long …

Optimized minimum-variance strategies tend to have low liquidity; high turnover; high
tracking error; and concentrated stock, sector, and country positions. Minimum-variance …

In a series of papers we published in 2016, we show that relative valuations predict
subsequent returns for both factors and smart beta strategies in exactly the same way price …

The authors study the impact of the inclusion of the momentum and size factors, and the
selectiveness in stock screening, on the performance and implementation cost of a …

On paper, momentum is one of the most compelling factors: simulated portfolios based on
momentum add remarkable value, in most time periods and in most asset classes, all over …

We challenge the common view that smart beta strategies and factor tilts are equivalent.
Initially, the term “smart beta” referred to strategies that broke the link between the price of a …

Purpose: This study used ESG grade, but defined AESG, adjusted to the size of a company
and examines whether it can be used as an investment strategy. Research design, data and …

This paper acts as a collection of various trading strategies and useful pieces of market
information that might help to implement such strategies. This list is meant to be …