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 ...

Vanguard Founder Jack Bogle had many views, all pronounced. (Naturally loquacious, he also wrote 10 books.) He criticized publicly traded mutual fund companies and exchange-traded funds, supported ...

Research dating back to 1972 has persistently found that low-volatility (or low beta) stocks have systematically provided higher risk-adjusted returns than high-risk stocks. Today, many leading equity ...

The explanatory power of the factors gives an edge to asset managers, hedge funds family offices and pension funds on how to better identify the source of risk and opportunities aligned with their ...

We build a class of copula models that captures time-varying dependence across large panels of financial assets. Our models nest Gaussian, Student's t, grouped Student's t, and generalized hyperbolic ...

This paper presents a nowcasting model for global trade that allows for regional dynamics and spillovers. World trade growth is driven by common global factors but also regional trends. While existing ...