Many exchange traded funds track simple characteristic-based equity portfolios such as the market capitalization, the fundamental value or the inverse volatility portfolio. This paper provides theoretical and empirical evidence for the economic benefits in exploiting the timing-gains that result...

CPPIs are popular medium- to long-term investment products that dynamically allocate between a risk-free asset and a risky portfolio, with the objective of combining upside potential with a capital guarantee. This paper uses a block-bootstrap evaluation approach to study whether combining smart...

The choice of weighting method in constructing equity portfolio affects not only the financial performance, but also its Shariah-compliance. We show how the implicit bets in market capitalization weights, fundamental value weights, equal weights and low risk weights can affect the individual's...

RiskPortfolios is an R package for constructing risk-based portfolios. It provides a set of functionalities to build mean-variance, minimum variance, inverse-volatility weighted (Leote De Carvalho, Lu, and Moulin (2012)), equal-risk-contribution (Maillard, Roncalli, and Teïletche (2010)),...

Shariah-compliant equity investors have the freedom to choose an investment style provided their selection of equities follows approved Shariah screening guidelines. This study proposes the Markov Regime Driven Style allocation (MRDS) strategy for portfolio construction, a forward-looking...