Equity risk–based strategies are sys-tematic quantitative approaches to stock allocation that
rely only on risk views to manage risk and increase diversification. These strategies do not …

We introduce the notion of themes as an additional investment dimension beyond asset
classes, regions, sectors and styles, and propose a framework to allocate to thematic …

Volatility targeting is a systematic strategy that invests in a risky asset and in the risk-free
asset, rebalancing the portfolio in such a way as to keep the ex ante risk at a constant target …

We investigate the possible sources of the recent underperformance of multi-factor equity
strategies reported by many equity quant managers. We considered the value, quality, low risk …

This article presents the most compelling empirical evidence yet of a low-risk anomaly in
fixed-income markets. The authors show that portfolios invested in bonds with the lowest risk …

We show that factors from value, quality, low risk, and momentum styles play an important
role in explaining the cross-section of corporate bond expected returns for the US and Euro …

We propose a model based on statistical learning techniques to predict unreported corporate
greenhouse gas emissions, which generates considerably better results than existing …

Value stocks have endured a period of severe underperformance until recently. This article
shows that the value spreads between valuations of value stocks and their most expensive …

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

The authors propose a robust optimisation approach to construct realistic constrained multi-strategy
portfolios that starts with the identification of different sources of excess returns and …