It's 2020 and we're back!
This week we dive headlong back into the technical, exploring the ideas of pure factor exposure.
Naive portfolio construction can lead to time-varying exposure, unintended bets and latent risk. With pure factor construction, we can target consistent and isolated exposure to a particular style.
But does it necessarily improve performance? Or is purity even something we necessarily want?
Read on... (PDF)
✉️ Join Newsletter | ✎ Send us your thoughts | ✄ Share URL
What We're Reading
→ OPTIMAL DEFENSE: "The key trade-off among equity equity-defensive strategies is their expected return versus their ability to diversify equity risk in down equity markets. In particular, the more reliable a strategy’s equity-hedging properties, the lower its expected return, and vice versa.'" A Theoretical Framework for Equity-Defensive Strategies