Serial dependence in returns impacts optimal portfolio allocations, challenging the IID assumption in traditional portfolio construction methods like mean variance optimization. Over longer investment ...
Factor investing involves using factor models like CAPM and APT to predict individual security returns based on macroeconomic or other factors. Factor investing is a formulaic method for forecasting ...
Betting on different parts of the market is tricky business. That’s one takeaway from a “Periodic Table” of calendar-year returns for Morningstar Factor Indexes.* In any given year, a different group ...
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