Commodities have become a popular investment vehicle over the last decade for their strong performance and diversification benefits. Accessing commodities through equities that have exposure to commodities has become increasingly prevalent as it may circumvent many of the challenges associated...

This paper is the second in a three-paper series focusing on factor investing. In the first paper, “Foundations of Factor Investing”, we discussed six factors — Value, Low Size, Low Volatility, High Yield, Quality and Momentum — that historically have earned a premium over long periods,...

Frequently investors have much more information than they can possibly digest. Developing and employing efficient information processing machinery to handle large amounts of data in a consistent way is the key to success in this environment. In this article we argue that it is critical for...

With the growth of international investing, the impact of currency movements continues to be a significant issue. All investors are exposed to currency risk when investing abroad and adverse moves in exchange rates can dramatically impact their performance. Hedging currency exposure is one...

Fundamental betas provide several conceptual advantages to historical betas -- they reflect information on a timelier basis and are less likely to confuse noise for information. This paper revisits the advantages of using fundamental beta for hedging systematic risk in the U.S. Fundamental beta...

The idea of accessing risk premia through the use of index-based funds and ETFs has been gaining momentum in recent years. MSCI Risk Premia Indices aim to reflect well-known equity premia to stock characteristics such as value, size, or momentum. Among the risk premia indices, equally-weighted...