DIY Trend-Following Allocations: August 2023
Full exposure to domestic equities. Full exposure to international equities. Partial exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: July 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: July 2023
Full exposure to domestic equities. Full exposure to international equities. No exposure to REITs. No exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: June 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Download
DIY Trend-Following Allocations: June 2023
Partial exposure to domestic equities. Full exposure to international equities. No exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Global Factor Performance: May 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: May 2023
Partial exposure to domestic equities. Full exposure to international equities. No exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Global Factor Performance: April 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: April 2023
Partial exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Is a Naive 1/N Diversification Strategy Efficient?
A simple 1/N factor diversification strategy will likely be at least as efficient as more “sophisticated” versions.
Global Factor Performance: March 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: March 2023
No exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. No exposure to commodities. No exposure to intermediate-term bonds.
Does International Diversification Work?
In this article, the authors examine the research on the benefits of international diversification. Some argue that because equity markets generally crash simultaneously, there are no benefits to having equity diversification. The evidence from this paper rejects this hypothesis.
Global Factor Performance: February 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: February 2023
Partial exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: January 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: January 2023
No exposure to domestic equities. No exposure to international equities. No exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: December 2022
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: December 2022
No exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. Full exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: November 2022
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads