According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

outperform the broad market and therefore generate significant alpha. However, the paper shows that a dynamic allocation of risk … different financial conditions and that an allocation to more offensive or more conservative risk factors can outperform a … significant losses across several asset classes. The objective of this paper is to investigate risk premia factors such as size …