Drawing on and extending an estate allocation algorithm of 12th century philosopher Moses ben Maimon, we show how “Maimonides Risk Parity” can link together the equal weighted, market capitalization weighted, and risk parity portfolios in a unified, elegant, and concise theoretical...

In this article, the authors examine the relation between country size, measured as the aggregate market capitalization of the listed stocks in a country, and individual stock returns. They find that stocks from small countries tend to have higher average returns than stocks from large...

We examine the time series asset pricing factor returns and their use in a portfolio that varies over time based on an investor's remaining human capital. Using of data for a common set of four different risk factors for the period 1980 to 2013, we show that risk premiums to different factors...

This paper compares fundamental index strategies to strategies that start with the market index and then tilt towards high fundamental-to-price stocks. We find that the tilt strategies have similar return, volatility and turnover as the corresponding fundamental index, but have higher...

Replication products strive to offer investors some of the benefits of hedge funds while avoiding their high fees, illiquidity, and opacity. We test whether a replication algorithm can deliver the diversification and high Sharpe ratio that investors seek. Our procedure constructs monthly clone...

This paper considers several popular portfolio implementation techniques that maximize exposure to value and/or momentum stocks while taking into account transaction costs. Our analysis of long-only strategies illustrates how a strategy that simultaneously incorporates both value and momentum...