Multifactor funds, which offer factor diversification neatly packaged in one product, have a rather short but poor track record; these funds have largely underperformed widely-available broad market funds. This article evaluates the performance of multifactor funds relative to two homemade factor...

Academics, practitioners, and investors at large typically have a preference for making decisions based on a single variable that is supposed to be maximized or minimized. This approach is usually appropriate but it may also be misleading. When selecting an optimal retirement strategy a retiree...

For over 30 years academics and practitioners have been debating the merits of the CAPM. One of the characteristics of this model is that it measures risk by beta, which follows from an equilibrium in which investors display mean-variance behavior. In that framework, risk is assessed by the...

Beta as a measure of risk has been under fire for many years. Although practitioners still widely use the CAPM to estimate the cost of equity of companies, they are aware of its problems and are looking for alternatives. One possible alternative is to estimate the cost of equity based on the...

Factor investing has received much attention from academics and practitioners, as well as from individual and institutional investors. It has become usual for investors that aim to enhance returns to add to the core of their portfolios a factor satellite, thus tilting their portfolios toward...

The Applied Finance Conference has become an annual event in which academics and practitioners converge to discuss issues of interest to both. On May 15, the 2015 meeting took place at the new facilities of St. John's University in downtown New York. One of the two practitioner-oriented panels...

Planning for retirement, particularly during the accumulation period, largely consists of setting a target value for the retirement portfolio and implementing a policy aimed at hitting that target. Financial plans are inevitably based on expected returns, which are likely to be different from...

Hedge funds raise capital largely from institutional investors. Small individual investors may feel left out but probably do not realize what a blessing that really is. Simple strategies way within their reach have outperformed hedge funds in terms of return and risk-adjusted return over the...