Corporate Credit Portfolio Construction: Targeting low-beta names during the COVID-19 Market Crisis
In this post we investigate how a portfolio constructed to optimize exposure to the Beta style factor performed through the market crisis.
Frequently Tax Optimize or Drift Away and Lose Tax Alpha
When clients invest in tax-managed investment strategies, their goal is to track the model portfolio, while harvesting as many losses as possible.
Building “Smart Beta” Strategies for China A Shares Using the New AXCN4 China Equity Risk Model
Global index vendors have spent much attention in recent years on the possible inclusion of Chinese A Shares in their investible benchmarks.
Enhancing MinVol Strategies with Multiple Risk Models
Minimum Volatility strategies have historically delivered portfolios with significant excess returns and much lower volatility compared with broader benchmarks.