The low-risk anomaly challenges traditional financial theory by stating that less volatile stocks generate higher risk-adjusted returns. This paper explores how various portfolio construction choices influence the performance of low-risk portfolios. We show that methodological decisions...

While static factor-based investing is nowadays a common way of allocating portfolios, the next step, a dynamic progression towards time-varying components and factor cyclicity, is still far less established. This study offers a survey on the state of the art of factor timing in asset management...

This paper explores how various portfolio construction choices influence the performance of low-risk portfolios. We show that methodological decisions critically influence portfolio outcomes, causing substantial dispersion in performance metrics across weighting schemes and risk estimators. This...

Compared to using the variance of index returns, managing investment by the average of the variance of index components (AV) produces significant return and ratio performance improvements. AV managed investment in the market index takes less extreme leverage making it more practical and cheaper...

Given the increasing interest in and the growing number of publicly available methods to estimate investor sentiment from social media platforms, researchers and practitioners alike are facing one crucial question - which is best to gauge investor sentiment? We compare the performance of daily...

This study proposes a method to enhance cryptocurrency portfolio returns constructed by forecast models. We forecast returns on four liquid cryptocurrencies and determine the weights on the cryptocurrencies based upon a dynamic allocation framework. We assess the performances of the portfolios...

Unstable fluctuations in financial markets caused by the 2008 financial crisis and currently by the Covid-19 crisis have generated greater concern among investors regarding their capital protection. In view of this situation, the consideration of alternative investments has taken a relevant...

This study is the first to consider ``Reuters Global Asset Allocation Poll'' data, which is a monthly survey of recommended global portfolio allocations from many of the world's top investment firms, based in the U.S., UK, Continental Europe, and Japan. We find that balanced portfolio...

This paper highlights the use of a new strategic approach within a quantitative investment methodology in the context of making prudent asset allocation decisions. Three asset classes will frame the dynamic asset allocation discussion: Equities, Fixed Income, and Hedge Funds. The quantitative...

The purpose of this article is to assess whether correct application of robust estimators in construction of minimum variance portfolios' (MVP) allows to achieve better investment results in comparison with portfolios defined using classical MLE estimators. Theoretical robust portfolios...