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The Hidden Risk In Low-Vol Strategies

The Hidden Risk In Low-Vol Strategies

One of the biggest problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicted a positive relation between risk and return. But empirical studies have found the actual relation to be flat, […]

What Fraction Of Smart Beta Is Dumb Beta?

What Fraction Of Smart Beta Is Dumb Beta?

Our earlier articles discussed how some smart beta strategies turn out to be merely high beta strategies, and how others actively time the market, requiring careful monitoring. We also showed that the returns of popular factor ETFs such as Momentum […]