This paper presents a novel, practical approach to risk management for multifactor equity investment strategies.
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
In this paper the author studies the performance of factor investment strategies from a practitioner’s point of view.
A risk decomposition by fund manager, factor or instrument is proposed
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The authors discuss the question of multifactor portfolio construction and show that the simplistic approaches often used by practitioners tend to be…
The authors of this paper analyze an equal-weight portfolio of global cross-asset-class risk factor exposures.