While gold is a volatile asset, it is often considered a safe haven that offers protection during bear markets. We study this safe haven hypothesis by analyzing a strategic allocation to gold for a loss averse investor with a 1-year evaluation horizon. A modest allocation to gold indeed helps to...

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 fresh data shows that such a factor investing strategy continued to deliver out-of-sample. The potential...

We dissect the realized performance of factor-based equity portfolios using a characteristics-based multi-factor return model. We show that generic single-factor portfolios, which invest in stocks with high scores on one particular factor, are sub-optimal because they ignore the possibility that...

This paper examines the sustainability characteristics of listed firms that raise fresh capital by issuing stocks or bonds. Issuance, i.e. the primary market, should be of paramount importance to sustainable investors since this is where the demand for and supply of capital meet, contrary to the...