Commentary
Optimal portfolios for optimal investors
Why blending manager skill with factor strategies creates optimal active portfolios.
Optimal portfolios for optimal investors
Rewarded factors such as value, momentum, and quality, and not just market beta, explain the cross-section of expected returns. Conversely, a small group of successful active managers that have been more actively taking risk have shown a better chance of outperforming going forward. We believe that blending such “top managers” with rewarded factors is essential for a risk- and cost-optimal active portfolio.
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Optimal portfolios for optimal investors
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