We analyze short-duration equity investments using traded claims on index dividends. We show that investment strategies with constant short maturity outperform a systematic long position in the underlying equity index on a risk-adjusted basis and in absolute terms. Furthermore, we find higher...

The recent empirical literature concludes that characteristics such as value and momentum explain and predict the cross-sectional dispersion of asset returns fairly well. I extend this evidence to Emerging Markets assets by analyzing a comprehensive data set consisting of sovereign bonds...