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...

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...

We extend the constant-elasticity regression that is the default choice when equities' exposure to currencies is estimated. In a proper real-option-style model for the exporters' equity exposure to the foreign exchange rate, we argue, the convexity of the relationship implies that the elasticity...