We offer empirical evidence that size, low-risk, value, and momentum factor portfolios
generate economically meaningful and statistically significant alphas in the corporate bond …

Diversification is famously referred to as the only “free lunch” in investing, but it has been
under assault since the 2007–2009 global financial crisis, when virtually all longonly asset …

Given the tremendous growth of factor allocation strategies in active and passive fund
management, we investigate whether factor or sector asset allocation strategies provide …

Various studies recommend investing in factor premiums beyond the classic market risk
premium, such as the small-cap, value, momentum, and low-volatility premiums. It is unclear …

In this study we confirm the existence of sizable momentum, carry and low-volatility factor
premiums in the commodity market, and argue that investors should consider these …

This paper takes another look at the recommendation of Blitz [2012] to allocate strategically
to the value, momentum and low-volatility factor premiums in the equity market. Five years of …

In this paper we investigate and evaluate factor investing in the US and Europe for equities
and bonds. We show that factor‐based portfolios generally produce comparable or better …

Passive investing has become increasingly popular over the past decades. The arguments
in favor of passive investing are well-known, and we acknowledge the validity of these …

The added value of smart beta indices is known to be explained by exposures to established
factor premiums, but does that make these indices suitable for implementing a factor …

Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to
their supposed ability to offer a better risk–return trade-off than traditionally structured …