References
- Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford, UK: Oxford University Press https://doi.org/10.1093/acprof:oso/.
- Ang, Andrew, Robert Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2006. “The Cross-Section of Volatility and Expected Returns.” Journal of Finance, vol. 61, no. 1: 259–99 https://doi.org/10.1111/j.1540-6261. https://doi.org/10.1111/j.1540-6261.2006.00836.x.
- Asness, Clifford, Andrea Frazzini, and Lasse Pedersen. 2012. “Leverage Aversion and Risk Parity.” Financial Analysts Journal, vol. 68, no. 1: 47–59 https://doi.org/10.2469/faj.v68.n1.1.
- Barroso, Pedro, and Pedro Santa-Clara. 2015. “Momentum Has Its Moments.” Journal of Financial Economics, vol. 116, no. 1: 111–20 https://doi.org/10.1016/j.jfineco.2014. https://doi.org/10.1016/j.jfineco.2014.11.010.
- Black, Fischer, and Robert Litterman. 1992. “Global Portfolio Optimization.” Financial Analysts Journal, vol. 48, no. 5: 28–43 https://doi.org/10.2469/faj.v48.n5.28.
- Bollerslev, Tim. 1986. “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics, vol. 31, no. 3: 307–27 https://doi.org/10.1016/0304-4076(86)90063-1.
- Carhart, Mark. 1997. “On Persistence in Mutual Fund Performance.” Journal of Finance, vol. 52, no. 1: 57–82 https://doi.org/10.1111/j.1540-6261.1997. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x.
- Cederburg, Scott, Michael O’Doherty, Feifei Wang, and Xuemin Yan Forthcoming. “On the Performance of Volatility-Managed Portfolios.” Journal of Financial Economics.
- Clarke, Roger, Harindra de Silva, and Steven Thorley. 2002. “Portfolio Constraints and the Fundamental Law of Active Management.” Financial Analysts Journal, vol. 58, no. 5: 48–66 https://doi.org/10.2469/faj.v58.n5.2468.
- Clarke, Roger, Harindra de Silva, and Steven Thorley. 2016. “Fundamentals of Efficient Factor Investing.” Financial Analysts Journal, vol. 72, no. 6: 9–26 https://doi.org/10.2469/faj.v72.n6.3.
- Clarke, Roger, Harindra de Silva, and Steven Thorley. 2017. “Pure Factor Portfolios and Multivariate Regression Analysis.” Journal of Portfolio Management, vol. 43, no. 3: 16–31 https://doi.org/10.3905/jpm.2017.43.3.016.
- Eraker, Bjorn. 2009. The Volatility Premium Working paper, University of Wisconsin School of Business2009 www.nccr-finrisk.uzh.ch/media/pdf/Eraker_23-10.pdf .
- Fama, Eugene, and Kenneth French. 1992. “The Cross-Section of Expected Stock Returns.” Journal of Finance, vol. 47, no. 2: 427–65 https://doi.org/10.1111/j.1540-6261.1992. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x.
- Fama, Eugene, and Kenneth French. 1996. “Multifactor Explanations of Asset Pricing Anomalies.” Journal of Finance, vol. 51, no. 1: 55–84 https://doi.org/10.1111/j.1540-6261.1996. https://doi.org/10.1111/j.1540-6261.1996.tb05202.x.
- Fama, Eugene, and James MacBeth. 1973. “Risk, Return, and Equilibrium: Empirical Tests.” Journal of Political Economy, vol. 81, no. 3: 607–36 https://doi.org/10.1086/260061.
- Frazzini, Andrea, and Lasse Pedersen. 2014. “Betting against Beta.” Journal of Financial Economics, vol. 111, no. 1: 1–25 https://doi.org/10.1016/j.jfineco.2013.10.005.
- Ghayur, Khalid, Ronan Heaney, and Stephen Platt. 2018. “Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending.” Financial Analysts Journal, vol. 74, no. 3: 70–85 https://doi.org/10.2469/faj.v74.n3.5.
- Grinold, Richard. 1989. “The Fundamental Law of Active Management.” Journal of Portfolio Management, vol. 15, no. 3: 30–37 https://doi.org/10.3905/jpm.1989.409211.
- Harvey, Campbell, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison, and Otto Van Hemert. 2018. “The Impact of Volatility Targeting.” Journal of Portfolio Management, vol. 45, no. 1: 14–33.
- Haugen, Robert, and A. James Heins. 1975. “Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles.” Journal of Financial and Quantitative Analysis, vol. 10, no. 5: 775–84 https://doi.org/10.2307/2330270.
- Idzelis, Christine2019. “Quant Mutual Funds Lag Stocks This Year, Bank of America Says.” Institutional Investor6 (December) www.institutionalinvestor.com/article/b1jbr5b66hrw6n/Quant-Mutual-Funds-Lag-Stocks-This-Year-Bank-of-America-Says.
- Jegadeesh, Narasimhan. 1990. “Evidence of Predictable Behavior of Security Returns.” Journal of Finance, vol. 45, no. 3: 881–898 https://doi.org/10.1111/j.1540-6261.1990. https://doi.org/10.1111/j.1540-6261.1990.tb05110.x.
- Jegadeesh, Narasimhan, and Sheridan Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance, vol. 48, no. 1: 65–91 https://doi.org/10.1111/j.1540-6261.1993. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x.
- Jensen, Michael C., Fischer Black, and Myron Scholes. 1972. “The Capital Asset Pricing Model: Some Empirical Tests.” In Studies in the Theory of Capital Markets edited by Michael C. Jensen, 79–121New York: Praeger.
- Li, Feifei, and Joseph Shim. 2019. “Trade-Off in Multifactor Smart Beta Investing: Factor Premium and Implementation Cost.” Journal of Portfolio Management, vol. 45, no. 3: 115–24.
- Liu, Fang, Xiaoxiao Tang, and Guofu Zhou. 2019. “Volatility-Managed Portfolio: Does It Really Work?” Journal of Portfolio Management, vol. 46, no. 1: 38–51 https://doi.org/10.3905/jpm.2019.1.107.
- Lo, Andrew, and A. Craig MacKinlay. 1988. “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test.” Review of Financial Studies, vol. 1, no. 1: 41–66 https://doi.org/10.1093/rfs/1.1.41.
- Markowitz, Harry. “Portfolio Selection.”1952. Journal of Finance, vol. 7, no. 1: 77–91.
- Moreira, Alan, and Tyler Muir. 2017. “Volatility-Managed Portfolios.” Journal of Finance, vol. 72, no. 4: 1611–44 https://doi.org/10.1111/jofi.12513.
- Moskowitz, Tobias, Yao Ooi, and Lasse Pedersen. 2012. “Time Series Momentum.” Journal of Financial Economics, vol. 104, no. 2: 228–50 https://doi.org/10.1016/j.jfineco.2011.11.003.
- Nelson, Daniel, and Charles Cao. 1992. “Inequality Constraints in the Univariate GARCH Model.” Journal of Business & Economic Statistics, vol. 10, no. 2: 229–35.
- Novy-Marx, Robert. 2013. “The Other Side of Value: The Gross Profitability Premium.” Journal of Financial Economics, vol. 108, no. 1: 1–28 https://doi.org/10.1016/j.jfineco.2013.01.003.
- Sharpe, William. 1964. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance, vol. 19, no. 3: 259–63.
- Treynor, Jack, and Fischer Black. 1973. “How to Use Security Analysis to Improve Portfolio Selection.” Journal of Business, vol. 46, no. 1: 66–86 https://doi.org/10.1086/295508.