Traditionally, investment portfolios have been constructed with a focus on what asset classes to invest in and how much to invest in each. Recent research, however, has shown that focusing on risk-factor allocations, rather than asset class allocations, can result in better risk-adjusted...

This paper explores the source(s) of commodity futures momentum and an associated anomaly. We decompose the 12-month conventional momentum strategy into single-month momentum components. Historical information in the cross-section of returns at 10 to 11 months prior to portfolio formation...

The equity risk premium (ERP) remains one of the most hotly contested ideas in finance. The disagreement, in practical and theoretical terms, centres on how best to measure the risk of an investment, how to convert this risk measure into an expected return that compensates the investor for...