RP11: Smart Beta Investing – A Data-Driven Strategy to Exploit Systematic Risk Factors in the Financial Markets (WP4)
The capital markets expose systematic risk factors (size, value, quality, volatility, carry, momentum, term structure, illiquidity anomalies), which can be harvested persistently.23 Definition of multi-asset investment strategies builds on rigorous backtesting over the broadest possible set of data, identifying, constructing, and measuring optimal signals for allocating investments across the different strategies, building broadly based risk […]