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Multifactor Strategies

In-depth investment research and commentary from Litman Gregory and our Research Alliance

Mar 21, 2019 Research Alliance Rerating the Judgment Factor Amid Smart Beta’s Derating—Thornburg

Turns out price matters for excess returns, and that what’s worked before doesn’t necessarily persist into the future. “Many factors aren’t real.”

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Nov 16, 2018 360 Views Webinar Replay: Multifactor Strategies

Here is a replay of our latest webinar on multifactor strategies with AQR's Adrienne Ross, CFA, and WisdomTree's Jeremy Schwartz, CFA.

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Mar 01, 2018 Research Alliance Navigating the Hidden Pitfalls of Factor Investing—Parametric Portfolio Associates

No one wants constraints, but they are often considered a necessary evil. For example, factor-based investing can introduce unintended bets into a portfolio. We explore how constraints can actually be a critical part of the success of this investment process.

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Aug 07, 2017 Research Alliance Are Low Vol ETFs as Smart as They Sound?—Thornburg Investment Management

“Smart Beta” ETFs and their low-volatility ETF progeny may deliver a lower beta against their relevant benchmarks, but they’re not immune to bouts of volatility, and their returns frequently come up short.

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