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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)


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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

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